The royal couple arrived in Sydney and were given the first of many gifts for their baby.
Australia's Governor-General Sir Peter Cosgrove and his wife Lynn presented them with a toy kangaroo, complete with joey, as well as a little pair of Ugg boots.
The baby is due in the spring.
Their Royal Highnesses The Duke and Duchess of Sussex are very pleased to announce that The Duchess of Sussex is expecting a baby in the Spring of 2019. pic.twitter.com/Ut9C0RagLk— Kensington Palace (@KensingtonRoyal) October 15, 2018
As well as Australia, the tour will see them visit New Zealand, Fiji and Tonga.
Speaking in Sydney, Prince Harry said: "Thank you for the incredibly warm welcome and the chance to meet so many Ozzies from all walks of life.
"We also genuinely couldn't think of a better place to announce the upcoming baby, boy or girl."