The reality show winner shared the tragic news to Instagram, revealing she and partner Dan Lawry had named the baby boy Teddy.
In an Instagram video, Madonna was joined by her children Lourdes, Rocco, David, Mercy, Stella and Estere – as well as her boyfriend.
Alison Hammond and Dermot O'Leary are taking over the Friday slot from Ruth Langsford and Eamonn Holmes.
The actor said she wasn't aware microphones would pick up everything said in the castle walls.
The 19-year-old singer said he and some of his fellow stars had received a telling-off.
The 78-year-old admitted that he sometimes gets distracted and starts thinking about his dinner.
The mother-of-two lost her life on Saturday 21 November while attempting to get a look at the castle's lights, her family have said.