The former Manchester United player and England captain popped the question on top of a skyscraper in Abu Dhabi on Thursday.
She captioned the snap: “The perfect end to our holiday ... How could the answer not be yes.”
Rio’s also took to social media to share the happy news, and revealed his children had been in on his plan.
“She said yes! How these 3 kids kept it a secret I’ll never know!” he wrote.
The couple, who have been together since 2016, now share a home with Rio’s three children.
Their mother, and Rio’s first wife, Rebecca Ellison, died in 2015 at the age of 34 after battling breast cancer.
In his 2017 autobiography, Rio opened up about his feelings for Kate and revealed he turned to his late wife’s best friend Lisa for advice.
“To my total surprise, I met someone and at first I wasn’t sure I should let free my feelings,” he wrote.
“In an emotionally vulnerable state, one’s judgement can be all over the place.
“I wanted to get to know this beautiful young woman better and, as I have done on occasions, turned to Lisa for advice.
“Of all the things Lisa has done for me, this may have been the hardest. Rebecca had been her best friend.
“It’s a measure of Lisa’s love that she put aside her feelings, offered friendship to this stranger and gave the relationship her whole-hearted encouragement. I will be forever in her debt.”
Kate, who is now a full-time mum to Rio’s kids, previously spoke about how she has always seen Rio and his family as a package.
“I fell in love with Rio, then I met the kids and fell in love with them,” she told You magazine. “I realised, ‘Wow, my life is going to change.’ I couldn’t be part of his life and not part of theirs.
“I knew it would be a challenge. But if you love someone you go with it and deal with the difficult stuff.”