"The Lampard family are expanding", she wrote.
The announcement was accompanied by a shot of the happy couple with their fur baby and Frank's two daughters from his previous relationship with Elen Rivas, Luna, 12, and Isla, 10.
The pair married in a lavish ceremony in Knightsbridge, London, in 2015, with Christine forsaking her maiden name Bleakley in favour of her husband's surname.
Frank Lampard and wife Christine have announced their expecting their first child together. "She looks a bit of a sort", which I think is East End for "She's attractive". Christine's dress was from high end brand Goat - which coincidently is a brand the Duchess of Cambridge wore on many occasions throughout her third pregnancy whilst carrying Prince Louis.
The broadcaster married Chelsea legend Lampard in 2015. "The list of emotions is endless".
Christine previously revealed her desire to have children with her husband, saying it would be "wonderful".
"If not we have the two girls, and one is about to embark on her teenage years, so that is a whole other chapter about to happen".
"That is honestly where our heads are at, and we just enjoy life as best we can in between".
In 2016, Christine spoke about the idea of having children on Loose Women.
And speaking to the Mail on Sunday's You magazine last July, Christine said: "I'm not one of those women who was thinking about babies at the age of 18, and when I first met Frank it wasn't on the agenda".
"I'm clearly not 18 anymore, so we didn't know if it was going to happen".
"I've got lots of friends who still don't have any children and lots of friends who do".