The party was hosted by Thurman`s half-sister Taya Thurman at her apartment.
"Taya threw a wonderful, sweet party - it was exactly what you`d hope your baby shower would be," a source said.
Thurman`s friend Debra Messing and her ‘Smash’ co-star and real-life beau Will Chase were amongst the 25 guests in attendance.
"It was a baby pink elephant theme, so everything was around that. They had little pink elephant cookies for everybody to take home," the source added.
It was reported in February that Thurman, 42, was expecting with financier Arpad Busson, 49. After calling off their engagement in 2009, the couple reunited last year.
"Uma was definitely not planning on having another kid. It was a surprise. But she`s over the moon about it, very excited," the source said.