Daly, 37, who already has a four year old daughter called Phoebe, with husband Vernon Kay, told relatives the good news over Christmas.
"We are over the moon about the prospect of a new addition to our family," she said.
"We're very much looking forward to having a brother or sister for Phoebe to play with," she told the Sun.
Vernon Kay, Family Fortunes presenter and Radio 1 DJ, 34, added: "It's such a gift. We're so happy and overjoyed."
Last month Daly dismissed any reports of the pregnancy and said: "No I'm not, it's just a fat belly. Leave me alone."
But on the Strictly Come Dancing special on Christmas Day she showed clear signs of a small baby bump as she hosted the ballroom entertainment show with Bruce Forsyth.
She wore a Grecian-style floor-length grey silk gown which led to discussions about whether she was expecting another child.
Reports already have suggested that Daly may give birth just in time to host the seventh series of the BBC1 dancing hit.
The Strictly Come Dancing Christmas Special was won by Jill Halfpenny and Darren Bennett.
Halfpenny, who won the 2004 Strictly Come Dancing competition, beat this year's Strictly winner Tom Chambers, Lisa Snowdon and Rachel Stevens and previous years contestants Alesha Dixon and Kelly Brook.
- telegraph.co.uk
