It comes after Wiig seemingly hinted at parenthood during the Mother's Day special on Saturday Night Live.
"I don't know if I truly appreciated my mum the first 45 years of my life," she told viewers.
"But this year I'm feeling especially grateful for her advice, her love. I'm so thankful for all the things she's taught me, like preparing me to be a mum myself."
Wiig and Rothman became engaged in August 2019 after dating for more than three years.
Wiig was married to Hayes Hargrove from 2005 to 2009.
She's not the only big name to have welcomed a baby in secret in the past few months.
Aussie music star Iggy Azalea revealed on Instagram this month that she'd given birth to a son with Playboi Carti while in lockdown.
The rapper, 30, admitted she'd been "waiting for the right time" to announce the news and she felt "anxious" about sharing it with the public.
Azalea had never confirmed her pregnancy despite rumours last year that she was expecting.