The American, 35, is due to give birth in the autumn, says her representative.
The world number two posted a picture on social media site Snapchat, posing in a mirror with the message: “20 weeks”, before deleting it.
Williams will miss the rest of the season, having not played since winning in Melbourne, citing a knee injury.
Williams, who will return to world number one next week, would be eligible to retain her ranking under the WTA special ranking rule if she is ready to play her first tournament within 12 months of giving birth.
Former world number one Victoria Azarenka gave birth to her first child in December and is expected to return to competition at the end of July.
Belgium’s Kim Clijsters, meanwhile, won the US Open in 2009 just 18 months after giving birth to her daughter.
Winning a Grand Slam while pregnant – analysis
BBC tennis correspondent Russell Fuller:
The news would suggest that Serena won the Australian Open while roughly eight weeks into her pregnancy.
We are very unlikely to see her compete in another Grand Slam before the French Open of 2018. That event will take place four months before her 37th birthday – but do not write off a woman who will return to world number one on Monday.
Azarenka is a useful guide. Even though she is eight years younger, the Belarusian returned to serious training in March after giving birth in December and is targeting the WTA event in Stanford at the end of July for her return.
US Open Tennis responded to Williams’ message by saying: “Serena Williams will have a new pride and joy to hug and call her own soon! Congratulations on the exciting baby announcement!”