The 30 Rock star, 54, wore a long overcoat and stripey scarf, and held on to the small brown dog, who wore a red coat, and had a matching red lead.
The Pearl Habour star's wife, yoga instructor Hilaria Thomas, 28, wore a black puffy jacket, clinched at the waist, black skinny jeans and sheepskin boots to keep out the cold.
Their beloved dogs were dressed for the cold too - one wore a pink hooded coat while the other was decked out in red.
Pounding the pavement: Alec Baldwin, 54, and his wife Hilaria Thomas, 28, were spotted walking their dogs in East Village, Manhattan on Friday
'Now, I'm showing, it's getting to be much more, like, OMG this is actually gonna happen, now we can start the nursery, the everything, the dreaming.'
The loved up pair, who have been married for eight months, only confirmed her pregnancy recently - saying they feel very 'lucky'.
The Rock of Ages star revealed he was unaware that his wife was even taking a pregnancy test at their country home, and was amazed to discover the news when he heard her screaming in the bathroom.
He said: 'There's a scream I heard, which is a scream normally reserved [for] if there's a spider in the house. It really is the most amazing thing. I'm lucky.'
Alec previously revealed that he hoped to become a stay at home father if Hilaria ever got pregnant.
Down dog: Yoga instructor Hilaria bends down to pick up her beloved pooch, as Alex's dog looks on in interest
'I want to have a baby and stay home and make the pancakes before I send my wife out to work every day to pay the bills.'
Alec, 54, has a 17-year-old daughter Ireland with ex-wife Kim Basinger.
Puppy love: Hilaria lifts and holds her little white dog close to her chest
Last Tuesday following Alec's announcement, his only daughter took to her Twitter account to share the good news.
In a string of posts she gushed: 'I'm going to be a big half sister. Woah.' She then tweeted: 'My dad is pregnant guys'
And in another message directed at Alec, she wrote:'@ABFalecbaldwin heard you are pregnant!'
Responsible citizen: The actor held a plastic bag, ready to clear up after the couple's little dogs
Alec told chat show host David Letterman on Monday: 'Being around a woman when she’s pregnant and I’m older now — quite a bit older, actually — it’s just really … it’s amazing.
'Like my wife, the pregnant woman, the hormonally-charged woman if you will....it’s a thrilling thing to observe.
'She’s been super fit her whole life and nutritionally very conscious. I’ll go, "Do you want me to go get you some pineapple?" And she’ll be like, ‘" don’t know."
'There’s a container of pineapple that will probably serve four people. I put it on the counter [and] I go, "If you want some pineapple, here it is'"
All that glitters: Alec and Hilaria seen here working the red carpet at the SAG Awards earlier this year
'I go to the other room, I plug my phone in to charge it [and] sure enough I walk back — three quarters of the pineapple is gone and she’s like, "I was very hungry."'
Alec also revealed Hilaria has been quite vocal about all symptoms of her pregnancy, including her constant need for bathroom breaks.
He said: 'My wife will be announcing, "I have to pee every five minutes, I can’t believe it!" Then I’m like, "Well, we have four bathrooms in the apartment, so you’re covered. We got a bathroom in every quadrant of the house at the ready, clean and freshly papered and everything good to go".
'And then the next day she’s like, ‘I don’t have to pee at all today. Something’s wrong!’ I’m getting whiplash here: pee, no pee…'