"Della Dawn Anglim, our world is forever changed. Thanks for choosing us baby girl. #WelcomeToTheTribe #Noble," Sierra, 34, captioned the photo of Della resting on a fur blanket and wearing a cute headband.
Joe, 32, shared the same photo and wrote, "There are no words..We are forever grateful for you and can't wait for the most exciting and best season yet. Ms. Della Dawn Anglim..#GodisSoGreat #noble #daughter #precious #light."
Two days earlier, Sierra had teased her baby was soon on the way when she uploaded a black-and-white image of Joe and herself and captioned it, "We're headed to the hospital like... #wecantwaittomeetyou #seeyousoonbabygirl."
"The turkey ain't the only thing in the oven this year! #grateful #cheers," Sierra wrote alongside an Instagram slideshow of photos featuring the couple cuddling in their kitchen, toasting glasses and eating pie together. "It's sparkling apple cider from here on out!"
Joe also wrote a sweet post expressing his gratitude on Thanksgiving for his pregnant wife, whom he married in November 2019.
"Thank you for your strong spirit. Great full for all of you. For your kindness. Thankyou for choosing us. Thank you for leading us down the path. Thank you for listening to our prayers. Thank you for the blessing of life we are able create together," Joe wrote alongside the images.
"Thank you. Thank you for each and every blessing seen and unseen, big and small. Thank you for the gift of life and all the possibilities that we have that we never would have thought possible. Beyond thankful for all of the blessings, love light and great full hearts."
Joe continued, "Thankful for the incredible support of our families friends and tribe. Which is about to get a little bit bigger. Love you all with all our hearts. #happy #thanksgiving #love #thankfull."
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"Forever and ever, amen," Sierra captioned a close-up photo of the couple's hands with a pear-shaped engagement ring on her finger at the time.
Joe, a jewelry designer who has competed onSurvivor three times, and Sierra, who has competed on Survivor twice, met when they competed against each other onSurvivor: Worlds Apart, the 30th season of the show that aired on CBS in 2014.
However, the couple did not fall in love during Survivor: Worlds Apart -- in fact, Sierra voted Joe out of the game!
Joe attempted to use his flirtatious and charming nature to manipulate Sierra during Survivor: Worlds Apart, but Joe told The Salt Lake Tribune in 2019 "she was not having any of that."
"We really didn't even have that great of a relationship, even within the game... She voted me out, which she reminds me of every chance she gets," Joe shared with the newspaper.
According to Joe, the pair's "friendship developed" after the game when they both attended Survivor-related events or gatherings, and then they ultimately met each other's families.
"Neither of us was looking to have a relationship or find love on an island," insisted Joe, who grew up in Arizona but is now living in Utah with Sierra.
"You always say, 'Oh, what if?' But in reality, you know that's not going to happen. And you shouldn't couple up because it's bad for your games [to be viewed as a power pair]. But, again, all this happened after the fact."
Joe said he and Sierra realized how much they had in common as time progressed.
In addition to playing on Survivor: Edge of Extinction and Survivor: Worlds Apart, Joe had appeared on Survivor: Cambodia -- Second Chance, the 31st Survivorseason that was cast based on viewer voting.
As for Sierra, she also returned for Survivor: Game Changers, the franchise's 34th season.
Survivor's most recent edition, Season 40 dubbed Survivor: Winners at War, aired its finale on May 13, 2020.