The Hollyoaks and Emmerdale actress revealed that she was pregnant after admitting last year that she and Kewell would like another child.
Murphy, who has 9-year-old Taylor, 6-year-old Ruby and 2-year-old Matilda with the footballer, wrote on Twitter: "Got some exciting news I'd like to share with you all.
"We are having another baby!! I'm 14 weeks pregnant. Been very sick but I'm very happy."
Murphy has previously insisted that she is "so glad" to have a lower profile than her WAG friends Alex Curran and Coleen Rooney.
However, the 35-year-old has confessed that she has received more attention since signing up to play Eva Strong on Hollyoaks.
> Sheree Murphy: 'Being a WAG is lonely'