The pair confirmed the happy news as Rose, 28, debuted her baby bump at the MTV Video Music Awards, reported People magazine.
"We do know the sex, but we're keeping it private for now. We just found out two days ago, so we're super excited, Rose said.
Until this point, the 24-year-old rapper Khalifa had denied pregnancy rumours.
"She will have my baby in life. And you will know when she's pregnant. But it's not the time now for people to start going crazy," he had said.
The 'Telephone' hitmaker proposed to Rose in March.
Rose was previously in a relationship with rapper Kanye West and has accused his current partner, Kim Kardashian, of breaking up their romance.
According to her the 'Keeping Up With The Kardashians' star sent inappropriate picture messages to her boyfriend at the time.