Alongside a picture of her cradling the newborn, she said: “Let us introduce you to our newest addition. ..Frederick (Freddie) George Lampard!
“We are completely in love.”
Former Chelsea football manager Frank, also 42, shared the post and added baby and smiley face emojis.
The couple’s celebrity friends sent them congratulatory messages.
This Morning presenter Holly Willoughby said: “Awww congratulations you beautiful mamma… huge love from all of us… can’t wait to meet little Freddie.”
Dancing On Ice star Becky Vardy wrote: “Congratulations xxx.”
Countryfile host Helen Skelton commented: “Amazing news xxx congratulations.”
The Lampards are already parents to two-year-old daughter Patricia. Frank also has two daughters from his relationship with Spanish model Elen Rivas.
Christine, known for her work on The One Show and Loose Women, announced she was pregnant in January.
The couple married in 2015. Frank was sacked from his job as manager of Chelsea in January.