Mellencamp, 38, announced the big news Wednesday on Instagram.
"Life is full of miracles," she wrote in part.
The reality TV star told Us Weekly that she is 14 weeks along, in her second trimester.
"Everything's good, and I'm in the clear, so I'm just starting to get to that point where I'm sharing with everybody," she said. "Plus now I have a bump, so there's not much more hiding I'll be able to do!"
Mellencamp and Arroyave, 42, have been married since 2011 and have two children together, Slate, 6, and Cruz, 5. Arroyave also has Isabella, 10, from a previous relationship.
Slate and Cruz were conceived via IVF, but Mellencamp says this baby is a surprise. "My husband said, 'I don't want to see you going through IVF again — that was brutal,'" she said. "It was so many rounds, but this time we really weren't doing anything!"
And Mellencamp (her dad is rocker John Mellencamp) isn't the only one who's thrilled with the news. Her kids are also delighted!
"They are so excited," she continued. "They've been talking about it for a long time, and actually it's been my son who’s been like, 'Mom, we need to have another baby,' and I never wanted to get his hopes up. So when we told him, he was through the roof. So excited."
Not only that, Slate and Cruz are calling him or her "their baby," she reports. "They have names picked out for if it's a boy or a girl — they're ready!"