The Weeds actor made the announcement on Late Night with Conan O'Brien.
Nealon, 53, who was once a regular on Saturday Night Live, and Yeagley, 35, who appeared in 2003's Intolerable Cruelty and has hosted World's Funniest Commercials with Nealon, were married in Bellagio, Italy on Sept. 3, 2005.
At the intimate 45-minute ceremony, the couple exchanged vows at the town hall in front of four witnesses.
As the happy pair emerged from the hall and posed for photographers, Nealon was asked if they were going to follow the Italian tradition of having children soon. "We're going to follow the Italian tradition of having a huge bottle of wine," he told PEOPLE.