According to OK! Online, the couple are over-the-moon with the newest addition to their growing family.
Gary, 33, and Natasha, who have been together for 11 years, are already parents to India, nine, and four-year-old Elvis.
The couple finally tied the knot last year, and former The Bill star Gary gushed about receiving the best wedding present in the form of their unborn baby.
He said: "It was actually a bit of a surprise because although we've discussed having more children it wasn't exactly planned.
"But it's like something's been gifted to us – it's the best wedding present ever. It's like it was meant to be."
Despite the initial shock, Gary and Natasha confirmed they would like to have one more baby to complete their family.
Natasha said: "Two boys and two girls would be perfect, especially for Elvis to have a another baby boy around when he's a bit older."
"We're stopping at four!" Gary added to OK! Magazine.
Congratulations to Gary, Natasha, India and Elvis on their new arrival!