The news was confirmed by the Shrek musical star on Twitter and her official website.
Holden said: "Chris, Lexi and I are delighted to announce that I am pregnant and we are expecting a little girl. The first half of this year has been unbelievably difficult for us and so we are beyond delighted to share this news with you."
She added that "my first priority is of course my family" and explained that she would end her contract with Shrek The Musical eight weeks early, on October 3.
"I have taken medical advice and although I am a strong girl and this is 'once again' a good healthy pregnancy, I will absolutely not be taking any risks," Holden continued.
"Your ongoing support for us this year has been so touching. We are enormously grateful. Thank you so much for your understanding."
The Britain's Got Talent judge, mother to a daughter named Alexa 'Lexi' Louise Florence, suffered a stillbirth earlier this year when she was seven months pregnant and lost the baby boy she was expecting with husband Chris Hughes.
After losing her baby, Holden said that she felt like she was living in a "weird, wonderful, awful, tragic movie" and that a "happy ending would be another baby".
Holden had previously experienced a miscarriage in 2010.
Girls Aloud star Kimberley Walsh will take over Holden's role in the musical stage adaptation of Shrek later this year. Walsh will make her debut in the role on October 5.