The couple was snapped walking together in London on Wednesday, and the 32-year-old psychologist has a noticeable baby bump.
"He and Phillipa are blissfully happy together and delighted to add to their family," a source told the Daily Mail. "Everyone is really excited for the new arrival."
This will mark Coan and Law's first child together. Law is already a father to five children from three previous relationships. The 47-year-old actor and his ex-wife, Sadie Frost, have three children together -- 23-year-old son Rafferty, 19-year-old daughter Iris and 17-year-old son Rudy. Law also has a 10-year-old daughter, Sophia, with model Samantha Burke, as well as a 5-year-old daughter, Ada, with singer Catherine Harding.