The singer and her boyfriend Alex Oxlade-Chamberlain announced news of their new arrival on Instagram.
After nine years with the chart-topping group, Jesy stepped away from Little Mix last year.
Drunken Fun, X-Rated Gossip And Sisterly Solidarity: 20 Times Little Mix Were Truly Friendship Goals
In the last 10 years, Little Mix's friendship has shone as brightly as their talent.
It's been 10 years since Perrie Edwards, Jesy Nelson, Leigh-Anne Pinnock and Jade Thirlwall were put together on The X Factor.
"For me, this is the music I’ve always wanted to make. I don’t think that anyone is gonna expect this."
The British pop group are the latest stars to be unveiled at Madame Tussauds in London.
The Little Mix star shared her embarrassment for anyone who "wants a laugh" on Instagram.
If you thought Little Mix's recent baby news might be making Jade broody... you should probably think again.
The former Oasis star was evidently not happy about Little Mix's groundbreaking Best British Group win.
The singer's fiancé, footballer Andre Gray, gave her the £40,000 ring when he proposed last year.
The singer posted a string of photos of herself and her bandmates celebrating their historic Brit Awards win on Instagram.
They previously gave a shout-out to Jesy during their scene-stealing acceptance speech.
Little Mix made history with their Best British Group win, and there were also prizes for Harry Styles, Arlo Parks and Billie Eillish.
They are the first all-female band to win Best British Group, and also shouted out the girlbands who came before them.
It was also the band's first time at the event since the departure of bandmate Jesy Nelson.
"Why is it that two women of colour are always mistaken for each other?" the chart-topping singer questioned.
"Future best friends pending."
The Little Mix singer has said she's "never felt so empowered" since sharing her own experiences of racism.
The chart-topping singer and her footballer boyfriend Alex Oxlade-Chamberlain are expecting their first child.