The 31-year-old figure skater married her boyfriend of two years, Tom May, during an intimate ceremony at the Wianno Club in Osterville, Massachusetts, on Saturday.
"I just can't believe how quickly the whole weekend went by," Sasha tells ET. "It was absolutely magical. We were deeply moved to share such a personal commitment with our family and closest friends as the sun set on the Cape."
Sasha told ET that her favorite moment of the night "was walking into the reception for the first time as a married couple as everyone clapped and cheered -- the room was magical."
Champion figure skater Sasha Cohen was the kind of skater who made you dream about twirling on the ice in a pretty dress. She won a silver medal at the Olympics in 2006 and has since been inducted into the U.S. Figure Skating Hall of Fame. She also recently graduated from Columbia University.
Last year, Sasha got engaged to Tom May, a hedge fund manager she met at a Harvard Business School party. "Engaged to the most incredible man," she wrote on Instagram at the time. "I've never been so happy.
The 35-year-old Olympic figure skater announced on Sunday that she is expecting her first child with fiance Geoffrey Lieberthal. "Geoff and I are so excited to welcome a little one into the world! Thank you to everyone in our lives for making today such a memorable one." Cohen captioned a photo herself, wearing a purple dress with her baby bump on full display, holding up a "baby" balloon.