Holt had explained to Woman's Day the "unconventional" way she got pregnant, very early in a new relationship.
The father was a "lovely man" who was just as excited as her and had been an amazing support, she said.
"We've made the conscious decision to focus on the baby first and see what comes later in terms of a relationship. I know it's not your traditional situation, but all that really matters is that we both love this baby and we trust each other."
"Josh and I have fallen in love," Holt told viewers this morning.
"I can actually promise you out there that there is truth in the saying that love conquers all. It really does.
"So I'm here, I'm in a really good place, I'm full of gratitude for all that I have."
The 39-year-old TVNZ Breakfast host is back for the first time in months after her unborn baby died while she was isolating herself at home during the peak of the Covid-19 outbreak.
"I was really excited and could hardly sleep last night to come and be back with my whānau," Holt told New Zealand this morning, adding, "Love you guys".
Holt has receieved an outpouring of support from New Zealanders on her return to work.
"Hayley you have been so missed," wrote one fan on Facebook.
"You are an inspiration to all to face the nation after such a sad loss. I look forward to seeing you every morning with the beautiful smile you share."
"Well done Hayley," wrote another.
"I know the strength, courage and resolve it must have taken this morning to come in and 'face the nation' after losing your much longed-for baby. Look after yourself and know that you've got the support & love of the nation here with you.
"You have handled something that I know from personal experience is incredibly heart wrenching with incredible grace. Sending you warm wishes and love," wrote another.
In January, Holt announced live on Breakfast that she was pregnant with her first child, telling viewers: "I'm so happy because I wanted this for a very, very, very long time and I thought my time was running out and it hasn't."
She had been staying at home during the lockdown because of the Covid-19 pandemic but in May TVNZ announced on Twitter that Holt's baby boy had died.
He was due to be born in July.
"As we're sure you can understand, this is difficult news to share and we're asking you to assist us in respecting Hayley's privacy both while she's at home and when she returns to Breakfast," TVNZ tweeted when Holt lost her baby.
"You've been part of this journey and we know you'll join all of us in the Breakfast family and the wider TVNZ team, in sending Hayley all your love and support.
"This is something which affects so many New Zealanders. If you need to talk about it, we can't recommend the teams at SANDS NZ or Baby Loss NZ highly enough."
