According to TMZ Sports, the woman said she is six-and-a-half months pregnant with Melo's child, and she reportedly expects Melo to contribute financially.
TMZ reported Monday that Anthony and his wife of seven years, La La Vazquez, are amicably separated. They have a 10-year-old son together named Kiyan.
Per TMZ Sports, Anthony allegedly fathering a child with another woman contributed to the split, and there is "virtually zero chance" of reconciliation.
The news comes in the midst of a rocky time for Melo professionally as well, after Knicks president Phil Jackson said Friday that Anthony "would be better off somewhere else," according to ESPN.com's Ian Begley.
The 32-year-old veteran has been a constant subject of trade rumors and is coming off a disappointing campaign for the 31-51 Knicks.