The girl, who has not been named for legal reasons, is thought to be still attending classes at her local high school in Dumfriesshire.
It is understood the father of the teenager’s child is under 16.
Last night, Dumfries and Galloway Council confirmed police had launched a criminal investigation.
Police Scotland said they could not comment on individual cases but confirmed they would always be involved in instances where there was an issue of under-age sex.
“Under-age sex is a criminal offence. Police would be involved as well as other partner agencies such as social workers,” said a Police Scotland spokesman.
It is not known how far advanced the teenager’s pregnancy is but the girl is believed to be Scotland’s second-youngest mother-to-be. Tressa Middleton, from Bathgate, West Lothian, became Scotland’s youngest mother in June 2006 after becoming pregnant at 11 and giving birth to a daughter at 12.
A spokesman from the council said in a statement: “It would be wholly inappropriate for the council to comment on the circumstances of an individual young person or a matter which is the subject of an ongoing criminal investigation.”
Scottish Government figures showed 61 reported cases of under-age mothers in the Dumfries and Galloway area from 2008 to 2010.
Last month, a 12-year-old English girl became the UK’s youngest-ever mother when she gave birth to a baby girl. She was a few months younger than Ms Middleton when she gave birth.
The girl and her boyfriend, who is 13, are the youngest parents in recent UK history, based on combined age.
Ms Middleton, now 20, said of the English schoolgirl’s baby: “The mum should be proud of herself for keeping the baby. I just hope she carries on at school. I didn’t, and still regret it. The big difference for her is having a loving family. I had nobody.”
Ms Middleton, who later revealed the baby had been conceived as a result of rape by her own brother, admitted to spiralling into depression and turning to alcohol and drugs after the baby was born. She gave up her child for adoption when the girl was two.
Scotland has one of the highest teenage pregnancy rates in western Europe, although it is declining. Figures from 2010 show the number of pregnancies across Scotland for under-16s was 7.1 per 1,000 girls.
Government figures also revealed that in 2010 NHS Ayrshire and Arran Health Board had the highest teenage pregnancy rate for under-16s – with 73 girls aged 13 to 15 becoming pregnant during 2008.