The comic, who has also featured on the judging panel of Britain's Got Talent, told fans the news on Twitter.
He said: "Some wonderful news. My beautiful wife Lara is pregnant. We are having a baby! It is due next year and we both couldn't be happier."
Walliams, who earlier this year said he has battled depression and tried to commit suicide several times, married the Dutch model two years ago at Claridge's hotel in central London.
A statement released by the couple said: "We're very excited to announce we are expecting our first child.
"We're both absolutely thrilled but ask you to please respect our privacy during this precious time."