The 31-year-old made the announcement on NBC's "Today" show, where she is a contributing correspondent.
Hager, the twin daughter of former President George W. Bush, and her husband, Henry, have been married for four years. He joined his wife on the "Today" set when she made the announcement.
During a phone call on the show, former President Bush said he's "fired up" about becoming a grandfather, and former first lady Laura Bush said she's "thrilled." It will be the couple's first grandchild.
(Copyright 2012 by The Associated Press. All Rights Reserved.)