In the interview, which is available to read in this week's Closer Magazine, Josie said, "We are so excited! I feel so relaxed and calm. Although I think I'm still in shock. "We left our first scan and I just looked at Terry and said, 'What have we done?!' Life is going to change a lot, but we are so happy."
The happy news comes after Josie suffered a heartbreaking miscarriage in November last year.
Josie shot to fame when she appeared on the 11th series of Big Brother and fell in love with her fellow housemate John James Parton. Despite starring in their own TV show, Josie and Australian John James later split just one year later.
After knowing family friend Terry for over 20 years, Josie decided to get to know him better and has since been incredibly loved up. Josie has previously started how supportive Terry is and revealed how he always tells her how much of an amazing mum she will be.
See what all of the other Big Brother winners are up to now:
Craig Phillips (winner of Big Brother 1 in 2000) then
Craig was the first ever winner of the series all the way back in 2000. He famously donated his entire ÂŁ70,000 prize fund to his friend Joanne Harris who has Downs syndrome - to pay for her heart and lung transplant.
Former Big Brother winner announces she's pregnant
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Isabelle Warburton (winner of Big Brother 18 - 2017)
The last winner of the show was Isabelle Warburton, remembered for her love of fake tan.
Isabelle is currently launching a salon called the Summer Bunny Studio.
Craig Phillips (winner of Big Brother 1 in 2000) then
Craig was the first ever winner of the series all the way back in 2000. He famously donated his entire ÂŁ70,000 prize fund to his friend Joanne Harris who has Downs syndrome - to pay for her heart and lung transplant.
Craig Phillips (winner of Big Brother 1 - 2000) now
After winning the show, Craig became one of the UK's leading DIY and home improvement experts (he owned a construction business before going on Big Brother).
Brian Dowling (winner of Big Brother 2 - 2001) then
Here's Brian back in the day on the final night of the series.
Brian Dowling (winner of Big Brother 2 - 2001) now
After winning the show, Brian became a successful presenter - he even hosted two series of Big Brother and four of Celebrity Big Brother after the move from Channel 4. He also won Ultimate Big Brother in 2010.
Kate Lawler (winner of Big Brother 3 - 2002) then
Kate became the first ever female winner of the show in 2002.
Kate Lawler (winner of Big Brother 3 - 2002) now
After winning the show, Kate worked as a presenter, DJ and model and also took part in Celebrity Love Island in 2006 (coming third).
Cameron Stout (winner of Big Brother 4 - 2003)
All-round lovely guy Cameron won the show in 2003, and he looked extremely happy about it.
He's now living in the Orkney Islands and is working as a teacher. He recently spoke to Rylan Clark-Neal about his life post-Big Brother.
Cameron said, "I live in a relatively small town called Stromness. We're right on the edge of the sea and I love living here. When I get up in the mornings, I open the curtains and I've got this panoramic view that's full of sea and full of sky. It's just beautiful."
Nadia Almada (winner of Big Brother 5 - 2004) then
Nadia became the first transgender woman to win the show, and is frequently dubbed 'Britain's favourite winner'. Davina also said Nadia was her favourite winner ever.
Nadia Almada (winner of Big Brother 5 - 2004) now
Nadia subsequently released a single called 'A Little Big of Action', and has competed in Come Dine With Me, Fool Around With… and Ultimate Big Brother. She now works as a nail technician in London.
Anthony Hutton (winner of Big Brother 6 - 2005)
Anthony's antics with Makosi in the hot tub is to this day one of the most talked about elements of Big Brother ever.
Anthony appeared on Ultimate Big Brother in 2010, but has since lived life away from the spotlight and is working as a barber in Durham.
Pete Bennett (winner of Big Brother 7 - 2006) then
Pete was the winner of what was probably the greatest series of anything to ever grace the telly - Big Brother 7.
Pete Bennett (winner og Big Brother 7 - 2006) now
After winning the show, Pete was in a relationship with his co-star Nikki Grahame for a short while - but they have since split.
He now owns a celebrity cleaning business in Brighton.
Rachel Rice (winner of Big Brother 8 - 2007)
Rachel was dubbed the nicest winner in reality TV history because of her tendency to not get involved in arguments.
She has since opted for a career out of the spotlight, and is a teacher at a school in Wales.
Brian Belo (winner of Big Brother 9 - 2008) then
Brian was the youngest Big Brother winner and was just 19 when he entered the house.
Brian Belo (winner of Big Brother 9 - 2008) now
After leaving the house, Brian worked for Harry Hill's TV Burp and Big Brother's Big Mouth.
He also made headlines in 2013 after he took legal action against the makers of TOWIE. Brian claimed they had stolen the idea from him, and they eventually released a settlement.
Sophie Reade (winner of Big Brother 10 - 2009) then
In probably our favourite Big Brother task of all time, Sophie was forced to change her name to 'Dogface' by deed poll during her time in the house.
Sophie Reade (winner of Big Brother 10 - 2009) now
Sophie is still working as a model for publications such as Playboy and is no longer called Dogface.
Josie Gibson (winner of Big Brother 11 - 2010) then
Josie got together with John James during her time in the house, in what was probably one of our favourite ever Big Brother relationships.
Josie Gibson (winner of Big Brother 11 - 2010) now
Since winning the show, Josie has had a lucrative TV career - and has also gained fame for her seven stone weight loss. She now works as a personal trainer and nutritional adviser.
Aaron Allard-Morgan (winner of Big Brother 12 - 2011)
Aaron became the first winner of the show after it's move to Channel 5. After leaving, he made several TV appearances, and also wrote a book about his time on the show.
Luke Anderson (winner of Big Brother 13 - 2012) then
South African-born Chef Luke became the first transgender man to win the show.
Luke Anderson (winner of Big Brother 13 - 2012) then
Luke now works as Head Chef at The Pied Bull, the oldest coaching house in Chester. He and his wife also welcomed twins last year.
Sam Evans (winner of Big Brother 14 - 2013) then
Sam won the first series presented by Emma Willis in 2013.
Sam Evans (winner of Big Brother 14 - 2013) now
After leaving the show, Sam appeared on Welsh TV programme on S4C, in which celebrities try to learn the Welsh language.
Helen Wood (winner of Big Brother of 15 - 2014) then
Helen joined the show after hitting headlines for her alleged threesome with former England footballer Wayne Rooney.
Helen Wood (winner of Big Brother of 15 - 2014) now
After leaving the show, Helen wrote a newspaper column, and has also made various TV appearances. She's also written an autobiography.
Chloe Wilbun (winner of Big Brother 16 - 2015) then
Chloe won the show's 16th series in 2015.
Chloe Wilbun (winner of Big Brother 16 - 2015) now
Chloe is now engaged to her partner and has a son.
Jason Burrill (winner of Big Brother 17 - 2016)
After leaving the show, Jason was briefly romantically linked to Aisleyne Horgan-Wallace. According to his Twitter bio, he's working as an actor and a property developer.
Isabelle Warburton (winner of Big Brother 18 - 2017)
The last winner of the show was Isabelle Warburton, remembered for her love of fake tan.
Isabelle is currently launching a salon called the Summer Bunny Studio.
Craig Phillips (winner of Big Brother 1 in 2000) then
Craig was the first ever winner of the series all the way back in 2000. He famously donated his entire ÂŁ70,000 prize fund to his friend Joanne Harris who has Downs syndrome - to pay for her heart and lung transplant.
Craig Phillips (winner of Big Brother 1 - 2000) now
After winning the show, Craig became one of the UK's leading DIY and home improvement experts (he owned a construction business before going on Big Brother).
Brian Dowling (winner of Big Brother 2 - 2001) then
Here's Brian back in the day on the final night of the series.
Brian Dowling (winner of Big Brother 2 - 2001) now
After winning the show, Brian became a successful presenter - he even hosted two series of Big Brother and four of Celebrity Big Brother after the move from Channel 4. He also won Ultimate Big Brother in 2010.
Kate Lawler (winner of Big Brother 3 - 2002) then
Kate became the first ever female winner of the show in 2002.
Kate Lawler (winner of Big Brother 3 - 2002) now
After winning the show, Kate worked as a presenter, DJ and model and also took part in Celebrity Love Island in 2006 (coming third).
Cameron Stout (winner of Big Brother 4 - 2003)
All-round lovely guy Cameron won the show in 2003, and he looked extremely happy about it.
He's now living in the Orkney Islands and is working as a teacher. He recently spoke to Rylan Clark-Neal about his life post-Big Brother.
Cameron said, "I live in a relatively small town called Stromness. We're right on the edge of the sea and I love living here. When I get up in the mornings, I open the curtains and I've got this panoramic view that's full of sea and full of sky. It's just beautiful."
Nadia Almada (winner of Big Brother 5 - 2004) then
Nadia became the first transgender woman to win the show, and is frequently dubbed 'Britain's favourite winner'. Davina also said Nadia was her favourite winner ever.
Nadia Almada (winner of Big Brother 5 - 2004) now
Nadia subsequently released a single called 'A Little Big of Action', and has competed in Come Dine With Me, Fool Around With… and Ultimate Big Brother. She now works as a nail technician in London.
Anthony Hutton (winner of Big Brother 6 - 2005)
Anthony's antics with Makosi in the hot tub is to this day one of the most talked about elements of Big Brother ever.
Anthony appeared on Ultimate Big Brother in 2010, but has since lived life away from the spotlight and is working as a barber in Durham.
Pete Bennett (winner of Big Brother 7 - 2006) then
Pete was the winner of what was probably the greatest series of anything to ever grace the telly - Big Brother 7.
Pete Bennett (winner og Big Brother 7 - 2006) now
After winning the show, Pete was in a relationship with his co-star Nikki Grahame for a short while - but they have since split.
He now owns a celebrity cleaning business in Brighton.
Rachel Rice (winner of Big Brother 8 - 2007)
Rachel was dubbed the nicest winner in reality TV history because of her tendency to not get involved in arguments.
She has since opted for a career out of the spotlight, and is a teacher at a school in Wales.
Brian Belo (winner of Big Brother 9 - 2008) then
Brian was the youngest Big Brother winner and was just 19 when he entered the house.
Brian Belo (winner of Big Brother 9 - 2008) now
After leaving the house, Brian worked for Harry Hill's TV Burp and Big Brother's Big Mouth.
He also made headlines in 2013 after he took legal action against the makers of TOWIE. Brian claimed they had stolen the idea from him, and they eventually released a settlement.
Sophie Reade (winner of Big Brother 10 - 2009) then
In probably our favourite Big Brother task of all time, Sophie was forced to change her name to 'Dogface' by deed poll during her time in the house.
Sophie Reade (winner of Big Brother 10 - 2009) now
Sophie is still working as a model for publications such as Playboy and is no longer called Dogface.
Josie Gibson (winner of Big Brother 11 - 2010) then
Josie got together with John James during her time in the house, in what was probably one of our favourite ever Big Brother relationships.
Josie Gibson (winner of Big Brother 11 - 2010) now
Since winning the show, Josie has had a lucrative TV career - and has also gained fame for her seven stone weight loss. She now works as a personal trainer and nutritional adviser.
Aaron Allard-Morgan (winner of Big Brother 12 - 2011)
Aaron became the first winner of the show after it's move to Channel 5. After leaving, he made several TV appearances, and also wrote a book about his time on the show.
Luke Anderson (winner of Big Brother 13 - 2012) then
South African-born Chef Luke became the first transgender man to win the show.
Luke Anderson (winner of Big Brother 13 - 2012) then
Luke now works as Head Chef at The Pied Bull, the oldest coaching house in Chester. He and his wife also welcomed twins last year.
Sam Evans (winner of Big Brother 14 - 2013) then
Sam won the first series presented by Emma Willis in 2013.
Sam Evans (winner of Big Brother 14 - 2013) now
After leaving the show, Sam appeared on Welsh TV programme on S4C, in which celebrities try to learn the Welsh language.
Helen Wood (winner of Big Brother of 15 - 2014) then
Helen joined the show after hitting headlines for her alleged threesome with former England footballer Wayne Rooney.
Helen Wood (winner of Big Brother of 15 - 2014) now
After leaving the show, Helen wrote a newspaper column, and has also made various TV appearances. She's also written an autobiography.
Chloe Wilbun (winner of Big Brother 16 - 2015) then
Chloe won the show's 16th series in 2015.
Chloe Wilbun (winner of Big Brother 16 - 2015) now
Chloe is now engaged to her partner and has a son.
Jason Burrill (winner of Big Brother 17 - 2016)
After leaving the show, Jason was briefly romantically linked to Aisleyne Horgan-Wallace. According to his Twitter bio, he's working as an actor and a property developer.
Isabelle Warburton (winner of Big Brother 18 - 2017)
The last winner of the show was Isabelle Warburton, remembered for her love of fake tan.
Isabelle is currently launching a salon called the Summer Bunny Studio.
Since leaving the house in 2010, Josie has turned her attention to personal training and healthy eating. The 33-year-old lost an impressive six stone in a year after and later released her own weight-loss DVD.
As well as this, Josie released her own perfume and has since appeared on a number of other TV shows such as Celebrity Wedding Planner, The Jump, Celebrity Juice and Loose Women.
Congratulations to Josie on her recent baby news! 👶
You can read Josie's full interview and see exclusive pictures of her baby bump in this week's Closer Magazine.