The actors are already parents to two children, whom they had adopted.
"The future just arrived, a brand new baby here to play. Ten little fingers, ten little toes, mommy's eyes and daddy's nose. Thank you princess for choosing us as your parents. It's a girl @mahhivij #parenthood #parents #father #fathersday #itsagirl ##girl #princess #love #lovemywife #mother #babygirl #fatherdaughter #emotional," Jay posted on Instagram on Wednesday along with a photo of him kissing his little one's feet.
Mahhi also shared the news with her followers on Instagram. She wrote: "Twinkle twinkle little star we made a wish and here you are. Thank you for choosing us as your parents. We feel complete.
"We are blessed with a baby girl. Thank u God for everything this one is special thank you. We feel blessed. My best friend is here. Meri zindagi Badal di."
Jay, currently hosting "Superstar Singer", had earlier said: "No relationship in the world can match the sanity of a father-daughter relationship and I wish that when my wife gives birth to a baby, she is a baby girl.
"I have no preference as such and it is not that I won't like if a baby boy is born but I admire this bond and since I have had a father-son connect with my father, now when I have a child, I want a daughter so that I can experience this too."
( With inputs from IANS )