The glamour model and businesswoman made the announcement in today's Sun (24 Feb).
She tells the newspaper: 'It comes as a shock. But we're all over the moon.
"I'd be lying if I said I wasn't nervous because I've experienced miscarriages in the past."
Katie, 34, is already mother to son Harvey, 10, from her relationship with footballer Dwight Yorke, as well as two children with her first husband Peter Andre - Junior, seven, and Princess Tiaamii, five.
Katie, aka Jordan, married builder Kieran - who is nine years her junior - on a beach in the Bahamas last month. They've been inseparable ever since.
She admits she had only been back home a few weeks before experiencing morning sickness symptoms.
Kieran has also spoken to the newspaper, revealing he is "head over heels in love with Kate" and can't wait to start their family together.
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