Jude, 41, confirmed the news to People through a representative, who said that while the two weren't in a relationship anymore, "they are both wholeheartedly committed to raising their child".
"They consider this a private matter and other than this confirmation no statement will be made. I ask that you respect the privacy of all parties involved and their families."
Catherine, 23, is a singer-songwriter who is known for competing on the Irish version of The X-Factor. Reportedly, she first got cosy with Jude while he was on shooting location in the Czech Republic a few months ago.
Jude has three children -Rafferty, 18, Iris, 14 and Rudy, 12 - from his marriage to actress Sadie Frost. He also has another daughter named Sophia (five years old) from his relationship with model Samantha Burke.