The 39-year-old took to Instagram to announce the news with a sweet baby bump photo, including her daughter Frankie.
The photo was captioned: "My baby kissing my baby."
Lindy has three children with her former husband, Olympic champion swimmer Michael Klim.
The pair officially split in early 2016.
She announced her engagement to Ellis in February of this year.
Congrats to the happy couple!
This article originally appeared on Marie Claire.
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