In social media posts this morning, the couple have confirmed the news.

"We're so happy to announce our special news," wrote 44-year-old Bridges in a post on Instagram.

"The well wishes and love we have received already are overwhelming and beautiful. Thank you so much. Michelle and Steve."

Willis, 39, followed suit with a note uploaded to Facebook.

"Excited to finally share our news today, Michelle and I are expecting a baby! Thanks to everyone for your well wishes."

The couple also appear on the cover of Who magazine, sharing their excitement that "we're having a baby" and revealing that Bridges is now more than four months pregnant.

It will be the first child for the couple who began dating two years ago, after working together on The Biggest Loser since 2007.

It was a controversial start to the relationship as Bridges was still married to her husband of nine years, Bill Moore, while Willis was also in a long-term relationship, with Froso the mother of his two youngest children.

Froso accused Bridges of "stealing" Willis from her and was devastated by the new relationship.

At the time, Bridges denied any wrong doing.

"I would definitely like to clarify that we have only had a development in our feeling for each other since we both separated from our respective partners. That for me is really important," she said in May 2013, denying there had been an affair.

"We are sorry if we caused any upset to people; it wasn't intentional. It's hard to watch things get thrown around that aren't true."

A source close to Bridges has confirmed to Fairfax that she and Willis have been consciously trying for a baby and it was a completely natural conception.

Willis has three children, Ella, six, Jack, three, and Brianna, 15, from two previous relationships. It will be Bridges' first child.

Fairfax Media