Alex - married to footballer Steven Gerrard, and mum to Lilly-Ella, seven, and Lexie, five - is expecting her third child.
Talking to Now magazine, Alex said: 'My period was late but I put it down to February being a short month, but then my boobs felt really sore. I was tired in the gym one day but it was after our big Valentine's party so I thought it was that. But then my trainer said: "My God, your boobs look massive today!" That's when the penny dropped.'
Alex also vowed she was not 'too posh to push' and would be having a natural labour with her new baby, as she did with her two daughters:
'I've been so lucky with the last two so hopefully everything will be OK.'
We're not sure we like Alex's trainer, but anyway, did you realise you were pregnant by odd means?
Did someone comment on your 'massive' boobs, or did strangers take to yelling 'fatty!' at you in the street all before the penny dropped? Tell us your stories!