Oz, 27, has been married for three years to John Jovanovic.
During the taping of the show, which is scheduled to air on Monday, Oz talked about a summer trip she and her husband took to Europe.
She said she wanted to share a photo, then pulled out a strip of three sonogram images, surprising co-hosts Mario Batali, Michael Symon, Clinton Kelly and Carla Hall.
Oz is the daughter of talk show host Dr. Mehmet Oz. This will be the first grandchild for Dr. Oz and his wife, Lisa.
The Associated Press contributed to this report.