Pete Davidson and model Elsie Hewitt are expecting their first child together ... and they're not going anywhere without their pregnancy pillow.

Pete carried the giant cushion for his girlfriend as they were snapped out and about in New York City. The two dressed comfortably in sweats and hoodies.

In addition to the pregnancy pillow, Pete also had a Goyard suitcase and other bags in tow. How chivalrous! Elsie followed behind her man in a leather jacket, joggers, and Uggs.

The baby news dropped over the summer, and the new addition is due this winter.

As we reported, Pete and Elsie were first linked in March and took their relationship to the next level quickly -- we broke the story that they were officially moving in together by May.