The singer told the Mirror, "I found out I was pregnant at about three and a half months.
"The dad, who is looking after my daughter, was thrilled. My new bandmates have been brilliant too. They've been so supportive and really positive."
Sese also revealed Gary's reaction to the news. "He talked to me about his children and said he's there for me. I feel doubly blessed."
An X Factor insider said, "We are delighted to hear Sese's news. She's being well looked after and her rehearsals are scheduled to ensure she has plenty of time to rest.
"Her bandmates have even joked that they're looking forward to welcoming a fourth member of the band soon."
On Sunday, viewers saw Gary put all-girl group Miss Dynamix – Sese, Jeanette, 21, and Rielle, 16 – through to the live shows, after a tough bootcamp in Manhattan.
Originally the trio had all auditioned for the show separately, but the Take That star decided to bring them together to form a new band.
There were emotional scenes as the girls discovered they had been chosen. "We have cried a lot," said Jeanette. "They did a compilation of us crying and it was pretty long. We need therapy!"
Miss Dynamix have now joined the other 12 finalists in their new X Factor home. Rather than putting the hopefuls up in a hotel, ITV bosses have splashed out on a £5 million mansion, previously owned by Lionel Richie, for the singers to stay in.
The pad features a top-of-the-line kitchen, a music room with a piano and a swimming pool – although it is thought the finalists will not be allowed to go swimming because of health and safety rules.
There is also a table tennis table and a basketball court for the finalists to make the most of when they are not rehearsing for the big live shows.