Keeping a low profile, the parents-to-be were seen heading into L.A.'s Staples Center, along with good friend Kristen Wiig.
Sudeikis, for course, worked with Wiig on Saturday Night Live. What's more, he and Wilde first met during the show's 2011 season finale. The two began dating and announced their engagement in January of this year.
Back in July, Wilde gushed about Sudeikis, telling Fashion magazine, "His [acting] skill level is so high. I really have learned a lot from him, especially when it comes to being bold and taking risks as an actor within a role. Comedians are so great about trying things, like doing seven takes in seven different ways and really not being afraid to stumble."
Sudeikis, in turn, spoke fondly about his ladylove during an interview with Modern Luxury Manhattan magazine and how she helped guide him to a healthier lifestyle.
"Being happy, and in love, for me, was the secret," he said. "I feel like I returned home to myself as an individual through the process of falling in love with the sweetest woman I've ever known."
After news of Wilde's pregnancy broke, she thanked fans for all their congratulatory tweets, writing, "WOW. You guys are awesome. So kind. Thank you thank you thank you! PS. Babies eat mostly salsa right?"