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The singer's new husband Sam Cooper announced the happy news to the couple's friends and family during his speech at their wedding reception on June 11.
A friend of the couple is quoted by the MailOnline website as saying: "There were tears all around. This is the happiest day of Lily and Sam's lives and they are so in love. This is the icing on the wedding cake!"
Allen is believed to be 16 weeks pregnant and Sam decided to include the announcement in his speech after they went for the 12-week scan and were told the baby is developing healthily.
The happy news comes seven months after the 26-year-old singer tragically lost her and Sam's baby six months into the pregnancy in November 2010.
Earlier in the day, Lily and Sam tied the knot at the St James the Great church in South West England before the newlyweds and their guests headed to the couple's £3m mansion for the reception which was held in a marquee in their garden.
Planned for baby
The Smile singer's half-sister Sarah Owen - who also attended the nuptials - previously revealed her sibling and Sam planned to try for a baby in 2011 following last year's tragedy.
Owen said: "They're going to start trying (for a baby) in the New Year.
"New Year, new start. Losing the baby totally devastated her... But Lily is absolutely determined to be a mum. This is what she wants more than anything in the whole wide world, more than her singing career."
In January 2008, Allen suffered a miscarriage when she was dating Chemical Brothers star Ed Simons.
(C) BANG Media International
