"This baby's gonna be a disaster," Chmerkovskiy quipped.
Lamaze is a childbirth practice, and classes are offered around the U.S. to expecting parents.
In a caption for the hilarious video, Chmerkovskiy, 36, added that "Lamaz[e] class went...interesting."
"@PetaMurgatroyd was the worst student in class, but I don't blame her cause it was a million hours long and we've been shown waaaaaaaay too much stuff!" he continued. "My hair is indicative of the 'stuff' we've witnessed."
Chmerkovskiy and Murgatroyd, 30, got engaged on Dec. 5 and announced they were expecting their first child, a baby boy, six months later.
Murgatroyd told People magazine back in June that the pregnancy shouldn't affect their planned wedding.
"I’ll have the baby in January and then I’ll still have about six months to prepare for the wedding," she said then.