Harry, who was at a curtain raiser for the Invictus Games, couldn't have looked more delighted, and while discussing the possibility of the baby being a girl, said he would "love to see [William] try and cope with that".
He went on to describe the Duchess of Cambridge as "pretty poorly" but "doing the best she can." He added: "I hope the two of them have the opportunity to go through the process again with a little bit of peace and quiet."
Harry was also asked if he had any advice for Prince George, and said: "There's never a strategy. I think George will be over the moon. I think he will be thrilled having another small younger brother or sister."
Clarence House released a statement that Kate and Prince William are "very pleased" about the pregnancy, but that she is once again being treated for severe morning sickness.
The proud uncle has talked extensively about the joy Prince George has brought to the family and joked that he looks like Winston Churchill.
The new baby, who is expected in March or April 2015, will be fourth in line to the throne, making Harry fifth.
On Monday, the royal met the team captains of all the 13 nations taking part in the Invictus Games – a Paralympic-style sporting event for injured servicemen and women.
The royal, who turns 30 on September 15, came up with the idea for the games after attending the US version, the Warrior Games, in Colorado last year.
Wearing a t-shirt emblazoned with the logo of the Games, the action man Prince urged all those who don't yet have tickets not to miss "this inspirational event".
In a welcome message to participants, he said: "I'd like to extend the warmest welcome to all competitors taking part in the Invictus Games who have now arrived in London.
"I know how hard you've been working over the last few months and the British public – indeed the world – can't wait to see you compete in just a few days' time in our nation's capital city.
"To anyone else still thinking about buying tickets to the Games – don't hesitate. It's going to be an inspirational event and you won't want to miss out."
Some 300 competitors from around the world will take part in events for the Games, which could include shooting, sitting volleyball, track and field and wheelchair basketball, over four days – 10 to 14 September in different venues across London.
Harry, who is also vice president of the Rugby Football Union, came up with his latest project to encourage wounded servicemen to stay physically active during their rehabilitation.