A photo from the Peter Andre Channel shows Australian-born Peter and 23-year-old Emily sharing a tender moment on a sofa in front of the cameras.
Covering her bump with a cushion, Emily strokes 40-year-old Peter's arm affectionately while the crew watch on.
After announcing his decision to end his popular fly-on-the-wall show, he explained why he would be leaving the small screen for the time being.
"It's going to be the tenth series since I started and we go on a high," said Peter, speaking on ITV's This Morning. "The ratings have been amazing. The last series had the highest ratings we've ever had and I thought, let's leave it on a high and bow out gracefully."
Peter responded to the question of whether his decision had anything to do with Emily saying she didn't want her life to be "catalogued".
"Maybe she's mentioned that a couple of times," said the singer and TV star. "I am with someone who is a lot more private and even though I am public and I could never ask for privacy, you have to also respect the other person.
"But it's not just that, I do honestly think that we've done it and the public have been amazing, and I would hate it for the ratings to start slipping and then I have to stop."
The former I'm A Celebrity... contestant recently opened up about his relationship with Emily in an exclusive interview with HELLO! saying he felt the need to "protect" her amid the attention their romance is getting.
"I adore her," said Peter. "I am a public person but I love the fact that I am with someone who is quite private.
"I understand things get written and I don't take it personally but because Emily is new and a little bit more private, I want to stick up for her, to protect her."
Peter will still be in touch with his fans, however, on the Peter Andre Channel where the singer posts snippets of life. A recent video that caused a stir was called The truth about Emily and marriage and laid rest to the rumours about the couple's possible engagement.