She is expecting her first child in late autumn with her partner Jen Wilson.
In a statement, Ms Davidson said the couple are “excited and daunted” about the months to come and “over-joyed” at the prospect of starting a family together.
She added that the news does not change her political commitment or her plans to lead the Scottish Conservatives into the 2021 Holyrood elections.
Her deputy within the party, Jackson Carlaw, will stand in for a few months while she is on maternity leave, which she will share with Ms Wilson.
Ms Davidson, who has made no secret of her desire to be a mother, found out in March that an IVF procedure had been successful.
She said: “Jen and I are delighted to be able to say that we are starting a family. We weren’t sure that it was going to happen for us, but we’re really, really happy that it has.”
Ms Davidson, 39, said she had been affected by some morning sickness and fatigue during the early stages of her pregnancy, but it will be “business as usual” until she goes on maternity leave.
“We have a very busy few months ahead, and I look forward to throwing myself into events with customary gusto,” she added.
“While it often goes unacknowledged, politicians have personal lives too, and I hope people will understand that I want to be able to combine my public role with a family life.
“We have always dreamed of starting a family and are pleased to be able to share our happy news.”
Politicians including Prime Minister Theresa May and Scotland’s First Minister Nicola Sturgeon congratulated the couple on their news.
Mr Davidson, seen as a rising star within the Conservatives, was recently included in Time magazine’s list of the world’s 100 most influential people.