The actress revealed on the "Late Show With David Letterman" last Wednesday that she and Benioff were planning to marry. They announced their engagement last July.
The newlyweds are expecting their first child, her rep confirmed to The ShowBuzz on Sept. 15.
Peet, 34, told Letterman on CBS' "Late Show" that she is four months' pregnant, which earned her the nickname "Fatty" on the set of her NBC show.
"See, that's not right," Letterman said. "That's just not right."
"I think it's really funny," she replied.
Peet stars in Aaron Sorkin's new fall drama "Studio 60 on the Sunset Strip," opposite "Friends" alum Matthew Perry. The series premiered Sept. 18 on NBC.
Benioff has a slew of screenwriting credits on his resume, including 2004's "Troy," starring Brad Pitt, and 2005's "Stay," with Ewan McGregor.