"Baby on the way! So so happy...xx," the 37-year-old posted on her Twitter account on Sunday.
It will be the first child for the Australian actress and her millionaire beau.
The prospective parents have been together for over a year after being spotted together at a BAFTA afterparty in 2012.
Former Home and Away star Melissa has previously spoken of her desire to become a mum.
''I am going to be a mother , absolutely obvious no matter how, when, what. I really am picking the right father for my child. It's very simple.
''Words can't describe, sometimes, things that feel so right. I wouldn't want to butcher it by doing that. I had a marriage, and lots of other things, and they were really, really hard. I had to take a break this year. I thank God he dropped this man into my life.''
Melissa dated music mogul Russell Simmons before meeting Jean-David.
She became a household name after the success of BBC series Hunted. Her current projects include The Good Wife and a new horror drama Gothica.