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Brown, who did not reveal a due date, did tell viewers she's already suffering from morning sickness and is eager to learn the gender of her baby.
"I want to go shopping now," she said, according to the New York Post, which reported the story.
Brown, 39, and Senor, 35, a Republican strategist and FOX News contributor, were married in April 2006.
A Louisiana native, Brown lives in New York City. She joined NBC in 1998, when she covered President Clinton's impeachment trial.
JOSH & FERGIE: ROCKED BY SCANDAL
Did he cheat with a stripper?
Married less than a year, the couple denies an Atlanta woman’s claims that she and Josh had a fling
Note that this week’s cover of PEOPLE may differ regionally
