Maksim Chmerkovskiy thought his fiancée Peta Murgatroyd was "kidding" when she told him she was pregnant.

Peta Murgatroyd and Shai

Peta Murgatroyd and Shai

The 30-year-old professional dancer gave birth to the couple's first child, a boy named Shai, four months ago, and has said her beau Maks didn't believe her when she first broke the news of her pregnancy to him over the phone.

She said: "Maks and I were so careful, but one night we weren't," she explains. "Days later I had this massive hot flash and I thought, 'I better take a test.' So I did. 'What?! How?!' A tear went down my cheek, because I didn't know what to do. I was thinking, 'Do I go to work? Do I call 100 people?'"

"I called Maks, who was in Vegas, and said, 'Well, I'm pregnant.' He thought I was kidding," she continues. "When I told him I wasn't, he said, 'Wow, that's good, babe,' in kind of a monotone. It was really weird! He added, 'I'm in a car full of people. I love you so much. I'll call you back.' He did a few minutes later and he was absolutely thrilled and came straight home to celebrate."

And the 'Dancing with the Stars' professional says the day she gave birth to Shai was the "best day" of her life, and both her and Maks cried at the event.

She added to the the June issue of Fit Pregnancy and Baby magazine: "Half the time Maks and I were laughing, half the time we were staring at the monitor. Sometime during the night, my water broke. I pushed for 30 minutes and he was here!

"Suddenly my baby was on my chest. Maks and I were in shock for the first 30 seconds. Then Maks started to cry, and then I did too. Shai looked at me, took his first breath and just made a little noise. It was the best day of my life."

Meanwhile, Peta also said she believes having a baby has changed her "whole life", but in a positive way.

She said: "I don't think you can stay the same person," Murgatroyd exclaimed. "I think once you have a baby it changes your whole life, your whole world, in a good way. But there's nothing sexier, there's nothing more beautiful than seeing your man fall in love with your child even more every day. It's the best."

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