Zidane, now 49, last managed Madrid in two separate successful spells, winning THREE Champions League titles in a row.
The ex-France international's eldest son Enzo, 26, shared the news on Instagram.
RMC Sport of France reports that the heir to the throne posted a photo online with his partner and an ultrasound.
Enzo started his career at Real Madrid too but now competes for French second division side, Rodez.
He has made 14 appearances so far this season in Ligue 2.
Enzo's younger brother Luca, 23, is also a professional footballer for Spanish La Liga side Rayo Vallecano.
Rayo are having an impressive season, currently sitting in eight place in the Spanish top flight.
Zinedine and his wife, Veronique, have two other sons, Theo and Elyaz, who are both in the Real Madrid youth system.
The soon-to-be grandad has been linked with both the Manchester United and PSG jobs.
But he was last spotted casually taking a walk with his dog in a backpack as he enjoys some time out of the game.