The comedian revealed the news on Tuesday during an appearance on 'Late Night With Seth Meyers.'
The 39-year-old comedian joined longtime friend Seth Meyers on Tuesday's Late Night, and opened up about his challenging past year -- which included a drug relapse, rehabilitation, and a divorce from Anna Marie Tendler.
"She held my hand through that hell, and we are having a baby, together," Mulaney said of Munn with a smile, as Meyers congratulated him on the news.
"I'm gonna be a dad!" Mulaney added. "I'm really -- we're both really, really happy."
He later reflected on how Munn has helped keep him sober and healthy as he recovers and battles his addiction, sharing, "Olivia and this baby have helped save me from myself."
News of their romance first broke back in May, shortly after ET confirmed that Mulaney and his wife of six years had split.
Back in 2019, when Munn was in a relationship with Tucker Roberts, she opened up to ET about her outlook on kids and marriage.
"I have two dogs, two cats, so that's a lot just with the animals. I don't have kids. I mean honestly it's a lot. I can't imagine," she admitted. "I've really come to a realization with myself that I'm already in my happily ever after. And if I want to have kids or want to get married then I'll do that, but it has to add to my life, you know? Everything has to add to my life."