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..."