The newlywed royal added that waiting for the pitter patter of tiny feet is "very exciting" and that she and husband Chris O'Neill are "very happy".
Of the surprise element of her baby news she said, "It's better that way than to plan everything in advance and find that nothing happens."
The Princess, known as Maddie to her family and friends, plans to carry out her official engagements long into her pregnancy before giving birth in early March 2014.
In the interview with Swedish ELLE she said she'd been brushing up on her baby knowledge by reading bestselling pregnancy manual What to Expect When You're Expecting and she also revealed that she'd given into the odd cheese craving.
The New York based royal also spoke about her husband of nearly five months describing him as a "true gentleman who makes everyone around him feel at ease."
The 31-year-old also spoke about their blissful married life.
"Now there's two of us, Chris and I against the world […] and that's what love is, feeling like you couldn't live without your other half."
Madeleine and Chris announced their happy baby news at the beginning of September around three months after their Stockholm nuptials.
The couple tied the knot after eight months of being engaged surrounded by VIP guests from around the world.
The nation rejoiced as the pretty royal married her American love in a magnificent ceremony at the Royal Chapel at the Royal Palace in the Swedish capital on 8 June.
The bride chose an ivory, pleated silk organza gown by Valentino and topped her brunette locks with a dazzling tiara, which was softened with sprigs of orange blossom.