Jay, who is hoping to come back with a bang this weekend after finding himself in the sing-off on Sunday, was pictured with the tot earlier today - and she looks pretty shocked to say the least!
The official X Factor Twitter account posted the snap online and asked fans to suggest captions for it. And we have to say, some of them have really made us chuckle!
One follower said: "Jay's daughter finds out that Jedward are to sing with the winner in the final....."
Making reference to boy band Stereo Kicks, another added: "Wait, there's 8 of them?"
Good work, guys!
Jay found himself in the sing-off with Paul Akister last weekend and the judges were unable to unanimously decide who to send home.
After going to 'deadlock', it was revealed Paul had received the fewest public votes and he was eliminated from the competition.
James has since taken to Facebook and thanked all the fans who had voted for him, adding that he was sorry to see Paul go.
In a heartfelt post, Jay said: "A massive thank you to absolutely every single wonderful human that voted and supported me this weekend! Hands down you're the reason I'm still in this competition.
"Absolutely devastated to lose Paul, such a rare talent & literally one of the best vocalists I've ever heard. I'm lucky & blessed to fight another day, after this that's exactly what I'm gonna do. #timetostartpunching.
"Massive love to #theflyunited #teamjayjames . I spoke to Simon he's chuffed & said James Arthur went bottom 2 at similar point & won it! #motivation!!!! #WEGOAGAIN xx."
Watch Jay's sing-off performance from last weekend here: