Christine is already stepmum to Frank's two girls, Luna, 12 and Isla, 11, who she has been helping raise since the pair met in 2009.
The former Chelsea and England footballer wrote on Instagram: 'We have some exciting news we wanted to share with you.
Commenting on the post, former One Show presenter Christine said: "The Lampard family are expanding!"
A source close to the family told The Sun: "The family are very excited about this news".
Broadcaster Christine Lampard and her husband, Frank, are expecting their first child together.
The couple have been together for six years, but tied the knot with a lavish London ceremony back in 2015. We all couldn't be happier!'
Christine previously gushed about the idea to adding to their family, telling The Mirror: "It if happens, of course it will be wonderful".
'That is honestly where our heads are at, and we just enjoy life as best we can in between'. "They both wrote the most attractive cards which made me cry".
It's not yet known what flavour their unborn baby is, but Frank, also 39, has already earmarked a name if it's a boy.
"It's a question I would never ask anyone but I get asked it loads". Everyone seems to be fascinated by my body clock. I've seen it and he's proved he's incredible. I'm not getting stressed or unhappy. "She looks a bit of a sort", which I think is East End for "She's attractive".
See a list of celebrities who posed naked and pregnant for magazines and more scandalous nude celeb baby bump photos.
'If it happens, it happens, but right now all is well in my world as it is'.