The former footballer, 39, shared the news on his Instagram posting a snap of him, Christine and his two daughters, Luna, 12 and Isla, 10.
Meanwhile, a whole host of celebrities rushed to social media to congratulate Christine and Frank after the stunning presenter posted on her Instagram page: "The Lampard family are expanding!"
The pair married in 2015 after six years together and on 16 May confirmed the "exciting" news.
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We had to change restaurants three times, my mum got knocked over by a paparazzi, then I was like 'Right, I'm done". Payne, 24, opened up about taking some time for himself, and his solo success apart from " One Direction ".
Despite being ecstatic over the news, Christine admitted she didn't tell Frank straight away.
"Frank told the girls on Monday and although they don't know the sex of the baby the girls are working on names". She reposted the image and said she felt "so excited, nervous and grateful".
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".
She told ITV's Loose Women she "found out quite a while ago" that she is expecting. "They're just so excited but they want a girl - that's the only stipulation!"
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Although on paper Barcelona where seemingly the favorites Sundowns seemed very much equipped for them. With the keeper to beat, he chose to bring it across, but against Maritzburg, he cracked it from far.
"We've just had the loveliest time between the two of us, going 'oh my gosh I think it's going to happen, it's happening!'"
They hadn't been actively trying, with Christine adding, "It was very much a case of let's see what happens".
She also confessed she had taken "seven or eight" pregnancy tests to be sure.
"In that classic kind of anxious, nervous sort of superstitious way, it was like, let's get the big scan done then you can open up and tell people".
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The company, however, is taking baby, comparatively boring, steps in LA first. Musk was joined by The Boring Company director Steve Davis.
Phillip Schofield, Ant and Dec and Holly Willoughby were just some of the well-known faces who turned up to celebrate with the happy couple, as well as Piers Morgan, Louise Redknapp and John Terry.