Within hours, bookmakers began accepting bets on what name the couple would choose for the baby, with popular predictions including Alice, Victoria, Alexander and Arthur.
As per royal tradition, Prince Harry and Meghan Markle have remained relatively quiet when it comes to revealing details about the pregnancy in public.
From what the royal baby will be called to whether it will receive a royal title, here's everything you need to know:
Do the royal family have surnames?
According to the royal family’s website, members of the family can be known by the name of the royal house and by a surname. But it hasn’t always been this way.
Before 1917, members of the British royal family didn’t have a surname, rather they went by the name of the house of dynasty to which they belonged.
However, at a meeting of the Privy Council on 17 July 1917, George V stated that “all descendants in the male line of Queen Victoria, who are subjects of these realms, other than female descendants who marry or who have married, shall bear the name of Windsor”.
What surname do the Queen’s descendants use?
Following her accession in 1952, the Queen Elizabeth II confirmed the royal family name of Windsor.
But, in 1960, the Queen and her husband, the Duke of Edinburgh, decided that their descendants, other than those with the style of Royal Highness and the title of Prince/Princess, or female descendants who marry, would use the surname Mountbatten-Windsor to honour Prince Philip's surname, Mountbatten.
Does this mean that all royal children have the same name?
While descendants of the royal do share the surname Mountbatten-Windsor, they have been known to use a variation of names.
As a result, it is widely believed Prince Harry and Meghan Markle’s royal baby, and any future children, will have the surname Sussex, as per the couple’s assigned dukedom.
Do royal children have royal titles?
The Duke and Duchess of Sussex's child will not receive a royal title upon birth, unless granted by the Queen.
A Letters Patent passed by King George V in 1917 reads:
"...the grandchildren of the sons of any such Sovereign in the direct male line (save only the eldest living son of the eldest son of the Prince of Wales) shall have and enjoy in all occasions the style and title enjoyed by the children of Dukes of these Our Realms.”
To put it simply, this means that Prince Harry and Meghan Markle’s children, should they have any while the Queen is on the throne, will not be HRHs or princes or princesses, but will be known instead as Lord or Lady (forename) Mountbatten-Windsor.
However, the Queen could issue a new Letters Patent to change this, as she did for Prince William and Kate Middleton’s children.
In December 2012, the Queen issued a Letters Patent under the Great Seal of the Realm declaring “all the children of the eldest son of the Prince of Wales should have and enjoy the style, title and attribute of royal highness with the titular dignity of Prince or Princess prefixed to their Christian names or with such other titles of honour”.
This explains why Prince George, Princess Charlotte and Prince Louis all have HRH titles.