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"We are thrilled," the actress tells PEOPLE. "We're so excited, we're just beside ourselves."
Ryan, who wed French chef Christophe Emé in the Loire Valley in June, is due in March.
"I feel really good," she says. "I've had it very easy so far. I've only had four days when I didn't feel great. It's been a wonderful pregnancy."
The couple are already working on a name for their daughter.
"We're looking for a French name," she says. "It's hard! We want a French name that sounds good to an American ear, and vice versa. It's not easy, but we definitely want to give her a French name."
Ryan, 39, also has a 12-year-old son, Alex, from a previous relationship.
She's currently filming the CBS drama Shark. The actress and her husband own French restaurant Ortolan together.
