In a statement, the singer and boyfriend Sam Cooper say they are "very happy to confirm that Lily is expecting their first child."
Allen told The Sun newspaper that she was three months pregnant and "absolutely delighted."
Allen has been dating 32-year-old painter and decorator Cooper for a year.
The statement released Thursday said Allen would continue with performances, including a gig at England's Big Chill festival on Sunday. Last month she supported Jay-Z at London's Wireless Festival.
Allen, whose hits include "Smile" and "The Fear," had a miscarriage in 2008.