Rosanna took to Twitter to share a scan picture with her followers, writing next to the image, "The greatest adventure lies ahead." Antony then retweeted the post, adding, "My baby xxxx."
The announcement comes weeks after the singer topped off a "magical year" by proposing to Rosanna during a romantic trip to Paris to celebrate her birthday.
Speaking to the Mirror, Antony said he was the "happiest" he had ever been after discovering that Rosanna was expecting.
"This is the best Christmas present I've ever had," said the singer, who is already a father to nine-year-old Emilie from a former relationship. "I’m going to be a dad with the love of my life.
"Me and the boys (from Blue) have our album out, we’ve done The Big Reunion and we're touring. Now Rosanna and I have a baby on the way – it seems like everything has fallen into place."
He also revealed that 28-year-old dental nurse Rosanna had texted him the happy news.
"She's always playing tricks on me so I thought, here we go again, it's going to be nails or hair or something," Antony recalled.
"Instead it was a pregnancy test she's just done and it showed she was pregnant. I think people walking past in the hotel must have thought I was mental because I started going crazy with excitement."
Antony shared his news with bandmates Simon Webbe, 35, Lee Ryan, 30, and Duncan James, 35, a few weeks later when they were performing in Plymouth for Hallowe'en.
"Before we went on stage I said, ‘There's something I need to tell you,' and Si was like, 'Are you quitting the band?'," said Antony.
"I was like, 'No way' – I’m going to be a dad!' They were really happy for me. They were all arguing about who’s going to be godfather."
The band recently celebrated Antony and Rosanna's engagement with a statement on Blue's official Facebook page.
"It is with great pleasure we are pleased to announce the engagement of Antony Costa and his beautiful girlfriend Rosanna," it read.
"Antony surprised Rosanna on her birthday today with a visit to Paris where he asked for her hand in marriage and she happily said yes.
"Everyone in Blue and the entire management team wish both Rosanna and Antony the very best for the future and we are all looking forward to the wedding."