Frankie, 24, is half way through her pregnancy and pal Rochelle, 24, gave birth to Alaia-Mai in May.
Speaking to Reveal at the Capital FM Summertime Ball at Wembley on Sunday, Frankie, who is engaged to footballer Wayne Bridge, said: "It really hit me when I went in to see Rochelle when she just had Alaia.
"I thought, 'there is actually a baby at the end of this!' But no, it is very exciting."
Rochelle didn't attend the concert with the rest of the girls, but her husband Marvin Humes, who is a presenter of the radio station, was there - and The Saturdays joked he could fill in for his wife!
Frankie said: 'They look so alike we genuinely think we can get away with it if he puts a wig on, and they know each others harmonies as well!"
Una, 31, said was giving Rochelle tips on motherhood.
But while the girls are all happily settling down and doing well in their career, it's not all rosy being a popstar.
Una told us: "I was tweeted once by someone asking: 'Are you still alive? Because it says on your Wikipedia page that you're dead.'
"It's awful - How can someone be so corrupt in their mind to write that I was found passed away by a friend?"
Watch The Saturdays' fab new video for 'Gentleman' below!