Buckingham Palace has confirmed that Phillips, who is the Queen's granddaughter, is expected to give birth to her first child in the New Year.
A statement said: "Mr and Mrs Mike Tindall are very pleased to announce that Zara Tindall is expecting a baby in the new year.
"The Princess Royal and Captain Mark Phillips, Mr Phillip and Mrs Linda Tindall, and members of both families are delighted with the news.
"This baby will be the first child for Mike and Zara and the third grandchild for the Princess Royal."
The couple married in 2011.