The No Doubt rocker, who recently confirmed she is expecting another baby boy with her husband Gavin Rossdale, was joined by her close friends, including Gwyneth Paltrow, Kate Beckinsale, Jessica Alba and Nicole Richie, for the blue-themed bash at the Hotel Bel Air in Los Angeles.
A source told UsMagazine.com: "People cheered as soon as she walked in.
"There were lots of people laughing and it seemed like everyone was having a lot of fun. It was very lively!"
The blonde beauty, 44, arrived with Gwyneth and was ushered into a private room that was decorated with light blue lights, bouquets of white hydrangeas, a banner that said "SWEET," and "guests were greeted with glasses of red or white wine."
Other guests at the afternoon tea party included chat show host Chelsea Handler, celebrity stylist Rachel Zoe and Tobey Maguire's jewellery designer wife, Jen Meyer.
Gwen posted a photograph of a table of blue sweet treats at the event on her Instagram page on Saturday, with the caption: "Baby shower!!! #can't believe im pregs thanku Shelli Azoff for a beautiful #girlyday =blessed (sic)"
The 'Settle Down' singer, who already has sons Kingston, seven, and Zuma, five, with her husband, recently revealed she is thrilled to be pregnant with another boy.
She wrote on Instagram: "I was ready to hand over the crown. But I guess I am still queen of the house. #itsaboy #surroundedbyboys."