The baby is believed to be due around May.
The royal family are said to be over the moon as the news of a new addition as are royal well-wishers worldwide.
Mike took to Twitter to thank everyone for the messages.
While news of another royal baby is exciting, the arrival of the bub will be much more low key than that of his/her cousins, Prince George and Princess Charlotte.
In stark contrast to the fanfare that surrounded the Duke and Duchess of Cambridge for the births of both their children, when Zara and Mike welcomed Mia they announced her name via Twitter and sold the photos to a celebrity magazine.