The boy band star and his partner Rosanna Jasmin both made the announcement on Twitter today (29.12.13) after they got engaged on her birthday on Monday (23.12.13).
In a tweet to his followers, Antony wrote: ''Me and @RosannaJasmin have some very exciting news... We are expecting our first baby, we really can't wait to be parents.''
Meanwhile, the mother-to-be posted an almost identical message on her own Twitter account.
Blue also helped break the news with a post on their official Facebook page.
In a statement on the social networking site, Antony's band mates and the group's management team said the news added to a ''wonderful Christmas'' for the pair.
The statement said: ''2014 is going to be a bumper year! Antony Costa & fiancé Rosanna Jasmin are pleased to announce they are having a baby.
''This completes a wonderful Christmas for the couple who announced their engagement on 23 December.
''Congratulations and best wishes from Duncan, Lee & Simon. And Paul, James, Amanda, Sarah & Sandra on the management team.''