"Don't worry, Dave, it's not yours," the singer joked.
"Oh. Well, I think that's good news for both of us," Letterman responded.
Spears, who walked out onstage unannounced after a commercial break (and then read off the evening's Top 10 List), gave no details about herself, including her due date. She also never mentioned her husband, Kevin Federline – though earlier in the program Letterman and bandleader Paul Shaffer made a wisecrack about him.
"Well, what else does he have to do?" Letterman quipped.
After Spears came out, she said of their banter: "I liked the whole prep. It was cool I think you did a very good job."
"So, we've established now that you are, in fact, pregnant, is that right?" asked Letterman.
"Yes sir," Spears replied.
Spears, 24, and Federline, 28, already have a son, Sean Preston, who was born in September of last year. For Federline, this will be his fourth child. He already has a daughter Kori, 3, and son Kaleb, 1, with actress Shar Jackson.
Of the anticipated addition to the family, "Kevin would love another little girl," a pal tells PEOPLE.
Spears wed Federline in September 2004, and the pair began talking about starting a family soon after. "I can see myself as a mom. Next year at 23, I am so there," she told PEOPLE shortly after the wedding. Just four days short of the couple's first wedding anniversary, she had accomplished that goal.
As for her career, Spears told PEOPLE in February, "I'm going to (get back to work), but I'm going to do it with definite balance for my baby because I want him to have the best of both worlds."
Spears, who lives with Federline and "Sean P" in their newly remodeled home in Malibu, calls motherhood "such an intense experience." Of her domestic life out of the spotlight, she added: "I'm happy. I'm very blessed. I have a beautiful home, a wonderful family, supportive, loving people around me. I have a great life.
Recently, she briefly returned to the spotlight by making a guest appearance on Will & Grace.
Meanwhile, Federline is following in his wife's footsteps: His debut album Playing with Fire is scheduled for release in August.
Jeffrey Neira / CBS