Capshaw, who plays Dr Arizona Robbins on the hit medical drama, shared the news via a very cute Instagram post.
Earlier this week, she uploaded a photo of her whole family, including husband Christopher Gavigan and children Luke Hudson, 8, Eve Augusta, 5, and Poppy James, 3.
It was accompanied by the caption "The holidays have certainly arrived...All of our lives are being added to by the lights, music and the cheer!! This year our family has reason to further broaden our smile...baby number four is on the way!! I am a lucky, lucky girl..."
Capshaw, 39, has played paediatric surgeon Arizona Robbins on Grey's Anatomy since 2009. Robbins is a fan favourite, and was previously married to orthopedic resident Callie Torres.
However, as they have since divorced, it is unclear how Capshaw's pregnancy will be written into the show's storyline.
The mother of three is the daughter of actress Kate Capshaw and the step-daughter of director Steven Spielberg.
Congratulations Jessica, and to your entire adorable family.
WATCH some of Arizona Robbins' best moments: