The 31-year-old singer - who is married to motocross star Carey Hart - had wanted to start a family for a while and was "nervous" about releasing the news because she had previously suffered a miscarriage.
She said: "I didn`t want to talk about it because I was just really nervous and I have had a miscarriage before. I worked for it. It was not an, `Oops!` "
The `So What` hitmaker - who said she is "eating for two" - doesn`t definitely know the sex of the baby but "thinks" it will be a girl, which has given her cause for concern.
She joked to US TV talk show host Ellen DeGeneres: "My mom has always wished me a daughter just like me. I`m terrified one of us will go to jail!"
While Pink - real name Alecia Moore - and Carey are overjoyed to be expecting their first child, the couple`s relationship hasn`t always gone smoothly, and they separated for almost a year in 2008.
The `Stupid Girls` hitmaker believes their split was necessary as it has brought them closer than ever.
She said: "We worked really hard and we had our little meltdowns, a couple of them, and now, we`re honestly, we both needed to do that and come back together. It`s just yummy."