The couple welcomed their bundle of blessing last week, but shared the information on their social media on Monday.
Speaking to Radiojambo, Milly says she is super-excited to have finally held her baby after she lost the first child through a miscarriage last year in January.
"I was 13 weeks pregnant, but the gynaecologist said the baby died at seven weeks."
She says that was the worst and most painful day of her life because the couple were eager to become parents after five years in marriage.
"I developed complications at a very early stage and when we went to the hospital, we did a check of the heartbeat of the baby, but the doctor said the child was not breathing," she said.
"I was in denial and I did not want to do the evacuation. I went home and even slept for two hours, but my husband insisted that we go to the hospital."
Milly delivered through caesarian section, and she says she was ready to get her baby in any way as she was already two weeks late. "I have not had any complications so far, and the journey is amazing. However, I miss my sleep," she said.
Terence brought Nairobi’s Kimathi Street to a standstill when he proposed to Milly, in what led to Milly being confronted by police officers, and while she tried to sort out the matter, a group of friends pulled up with placards reading ‘Will You Marry Me?’
The couple met at Churchill Show in 2013, where they both worked. Terence then worked as a creative director, while Milly worked as a floor manager.
They named the baby Milla Netai, meaning Millicent and Lawrence, the couple's names. Milla also means fear and hope. Netai is a Kalenjin name meaning Alpha or first.