Jon and Erin, who married in 2010, have two young sons together aged three and 20-months old.
After years of minor roles, the 38-year-old actor rose to fame as Shane Walsh in The Walking Dead, going on to star opposite Leonardo DiCaprio in Wolf of Wall Street.
He announced the happy news at the premiere for his new film Fury, where he stars opposite Brad Pitt.
The couple are keeping the details secret, preferring to keep everything a surprise. During Erin’s last pregnancy Jon joked in an interview that as far as finding out the baby’s gender "she calls the shots in that department”.