The 33-year-old, who previously dated musician Ben Lee and actor Billy Crudup, tied the knot with Dancy in 2009, reported Showbizspy.
"There is no way of anticipating what that is going to mean for us but we are very excited. We are going to love this person, I know that," Danes said.
The actress also said that she wants to keep certain deatils about the pregnancy as their life as a celebrity is so public.
"My mom ran a toddler school in our loft. I grew up in the city. So I grew up with one-and two-year-olds all throughout my childhood, and I know about early childhood development, that particular window I am pretty educated on," she added.
"Anything before and after I might have some trouble. It is important to keep a little something to ourselves because we are so public," she said.
