Her spokesperson said: "January Jones is happy to announce that she is expecting her first child this fall.”
A friend of the star insisted she is not worried about raising the child alone.
The source told People.com: "She's really looking forward to this new chapter in her life as a single mum."
The 33-year-old beauty – who plays glamorous mother-of-three Betty Draper in the hit TV series – has previously been romantically linked with Ashton Kutcher, Adrien Brody and singer Josh Groban.
January recently revealed she is happy being single because she doesn’t like living with other people.
She said: "I don't like living with other people. I don't mind being alone. I just don't really have a lot of time or energy to put into a relationship when nothing's going to happen.
“Everybody writes that they think I'm so unhappy. I'm [just] in my own head. I'm doing things. Keeping things interesting.
"I don't like having an entourage of people around me. I have a select group of friends who I hang out with."