The 35-year-old actress and Michael Koman got married four years ago after a few years of dating.
Kemper made the announcement on "The Tonight Show Starring Jimmy Fallon", reported People magazine.
"I have big news, I'm pregnant!" before pointing towards her pretty floral dress.
The funnyman immediately leaned over and said, "Hi baby" before gifting her with a pot of Ben & Jerry's ice cream.
Kemper kept her pregnancy hidden from her co-stars while shooting "Unbreakable Kimmy Schmidt".