The 36-year-old dancer took to Twitter last night (June 29) to break the news.
"Check out my beautiful wife," he posted, along with a picture of model Zoe Hobbs. "If you think it looks like she might be glowing then you're right, she is!"
After splitting from fiancé and fellow dancer Camilla Dallerup in 2004, Cole was linked to Natasha Kaplinksy - his celebrity partner from the first series of Strictly Come Dancing - and went on to date soap actress Adele Silva.
He met Hobbs at a friend's birthday party in 2008 and they married in July 2010.
The new arrival will be the couple's first child.