"Marc and I are expecting," Lopez told the crowd in Miami.
After her announcement, Anthony kissed Lopez's belly.
"I didn't know she was going to talk," he said.
Lopez, 39, did not say when she was due to give birth. Lopez and Anthony married in 2004.
Designer Roberto Cavalli confirmed, perhaps inadvertently, that Lopez was pregnant in October.
Asked what types of clothing he designs for celebrities, the fashion designer told People magazine: "Well Jennifer Lopez, at this moment, she requests something very special because she is waiting for the baby."
"It is so complicated because every week she is getting bigger," Cavalli said.