Wilde's publicist, Joy Fehily, confirmed the news on Sunday. This will be the first child for both actors.
The baby news was first reported by People.com.
The couple became engaged in January. This will be the second marriage for both actors. Wilde's divorce from documentarian Tao Ruspoli was finalized in 2011. Sudeikis and "Pitch Perfect" screenwriter Kay Cannon divorced in 2010.
Wilde, 29, is known for her roles on TV's "House M.D." and in films like "Tron: Legacy" and "Cowboys & Aliens." She recently appeared in Ron Howard's "Rush." Sudeikis, 38, rose to fame while starring on "Saturday Night Live." His latest film was "We're the Millers" with Jennifer Aniston.