Although Du Plessis-Allan said it was scary, she and her husband were excited to meet "the wee mate".
Du Plessis-Allan said she was due in February and is expecting a boy.
While many listeners might be worried she will be off the airwaves for sometime, Du Plessis-Allan joked that her boss had kindly given her a week of maternity leave.
Newstalk ZB listeners were the first to hear about the news.
"All of us at NewstalkZB and the wider NZME family are absolutely delighted for both Heather and Barry," said NZME Head of Talk, Jason Winstanley.
Last month, Du Plessis-Allan spoke to the New Zealand Woman's Weekly about how much she was loving life.
"My mum [Elizabeth du Plessis] is part of our bubble and she was sitting here with me this weekend pointing out all the good things about my life.
"Sometimes we can be at risk of focusing on the negative, but I have a fantastic husband, a fantastic family – I love my brothers and my mum, and I have a wonderful job which is constantly stimulating.
"Naturally, I'm there on the radio to play the opposition role and hold the Government and a lot of other people accountable, so I do tend to look for problems, but I'm naturally a contrarian, so it's not a problem."
She told the magazine she didn't consider herself high-profile.
"I'm just doing a job like a builder builds a house or a baker bakes the bread and sells it to someone who runs a café. I refuse to indulge in any kind of sense that I am special or important. I do not read social media, I do not care about that stuff. I don't listen to people commenting on what I've been up to because none of that stuff is important.
"I'm just going out and doing my job, then I'm going home and I am somebody's wife, I'm the sister to a couple of awesome boys, I'm the aunty to a bunch of young kids, I'm somebody's daughter, I'm somebody's grandchild and I'm someone's friend. As long as I keep within the parameters of my real life, it's kind of easy to just continue to be a decent, normal human being."
