After being congratulated by her co-host Christine Bleakley, a beaming Holly said it was a relief that she could share her happy news with everyone.
"That first bit when you can't say anything to anybody, it's horrible because you just want to go 'I'm pregnant'," she explained. "But now it's nice that everybody knows and it's out there."
And the 33-year-old mum-of-two said it was great to share the news with her son and daughter, saying: "It was lovely telling the children actually, that's what was nice.
"Obviously when Belle came along Harry was not even two so he didn't really get it, but this time he really gets it and this morning he came down stairs and I was just waking up and he went 'I just wanted to make sure you and the baby were OK'... its melts your heart."
But Holly also revealed that this time she wants to keep the sex of her third child a surprise.
"I'm not going to find out this time," she said. "I found out with Belle, but this time we're not going to find out."
Holly confirmed she was pregnant on Twitter last week, writing: "Surprise Surprise (and it was a surprise!!) I’m really happy and excited to tell you that Dan and I are expecting baby number 3!
"We feel blessed and very lucky to be giving Belle and Harry a little brother or sister later this year."
The star already has two children with husband Dan Baldwin, who she married in 2007.