Julio Iglesias Jr. let the news slip during an interview with Chilean radio station ADN, when he was asked to comment on rumours the former tennis player is pregnant.
"I've already become an uncle," he said.
The interviewer asked if the baby had already been born, prompting Julio to state, "Yes."
But he refused to offer up more details and wouldn't even confirm the sex of the newborn, adding, "It's a secret... My brother now has three children. He's very happy."
Enrique and Anna, who are also parents to two-year-old twins, Lucy and Nicholas, never even confirmed the pregnancy, but recent vacation photographs obtained by Spain's Hola! magazine suggested the 38-year-old was expecting again.