The couple made the announcement during the Natural History Museum Gala at the Museum of Natural History, whose board members include his "Late Night with Seth Meyers" show' producer Lorne Michaels, reported People magazine.
"The couple was sharing the exciting news with friends and cast member at the event," a source said.
"Everyone was coming up and congratulating the couple and giving them hugs. Seth and Alexi were beaming about the news of their baby."
Meyers, 41, and Ashe tied the night in an intimate ceremony in 2013 just a month after announcing their engagement.
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