In all, they have 76 engagements scheduled over 16 days in Australia, Fiji, Tonga and New Zealand.
The baby, Prince Harry and Meghan Markle's first child, will be seventh in line to the throne.
He followed this up with a cheery "G'day" as he spoke at Admiralty House for an afternoon reception hosted by the Governor General Sir Peter Cosgrove and Lady Cosgrove.
Meghan Markle and Prince Harry Are Expecting a Baby! | News
The baby news was met with excitement from British Prime minister Theresa May, who sent her "warmest congratulations" to the royal couple.
Harry and Meghan spent their first day in Sydney getting close to wildlife, including meeting two namesake joeys, and were greeted by hundreds of well-wishers outside the famous Opera House.
Not only did we swoon for the Prince, but Daphne Dunne became Australia's most beloved royal fan, a force of nature who'd waited since dawn with an Esky of beer to meet her idol. As of right now, we've had multiple blowout weddings, adorable baby births, and showstopping events including but not limited to: Trooping of the Colour, Queen Elizabeth's 65th coronation anniversary, and oh, right, Harry and Meghan's own extravagant royal wedding.
"Their Royal Highnesses The Duke and Duchess of Sussex are very pleased to announce that The Duchess of Sussex is expecting a baby in the Spring of 2019", the announcement read. Eagle-eyed social media users noted that Meghan had buttoned up only her top two buttons of her coat and appeared to be leaving herself extra room to move.
"I wished them well with the baby on the way and said this is what Harry has been waiting for for so long".
On October 15 - the same day the The Duke and Duchess of Sussex landed in Australia for their first official tour - Kensington Palace confirmed Meghan was pregnant.
Thousands of people gathered on the harbour and at the Opera House, where the couple shook hands and embraced members of the public.
The tour coincides with the third Invictus Games, an global sports competition Harry founded in 2014 for wounded veterans and members of the military, which kicks off Saturday.
She kissed both the Duke and Duchess and gave them cards and flowers as gifts. "Harry has told me all about you and your special bond, it's so lovely you came to see us thank you".
Meghan chose the fitted shift dress as she stepped out in public for the first time since the news of her pregnancy was revealed.