The new arrival is the couple's third child together and was confirmed by OK! Online.
The former Eastenders actor, 33, and his wife already have two children together - India, nine, and Elvis, four.
Lucy and his wife only announced they were expecting their third child in July, not long after they married in November 2014.
Gray told OK! Magazine at the time: "It was actually a bit of a surprise, because although we’ve discussed having more children, it wasn’t exactly planned.
"But it’s like something’s been gifted to us – it’s the best wedding present ever. It’s like it was meant to be."
They also revealed they don't necessarily plan to stop at three children.
Gray added: "Two boys and two girls would be perfect, especially for Elvis to have another boy around when he's a bit older."