"We would have been happy either way, of course, but we are so excited to be having a little boy," the singer, 36, tells PEOPLE.
The couple, who are expecting their first child this summer, had been waiting to find out the sex of their baby before finalizing a remodel of their guest room at their 2,200-acre ranch in Texas.
"I have to admit, I was doing a little dance on our way out of the doctor's office when we found out!" says Murray, a nine-time World Champion rodeo cowboy.
Jewel, who earlier this month announced her pregnancy to PEOPLE, had been trying for two years to have a baby with Murray.
The singer received the happy news on her first day as a host of Bravo's upcoming songwriting competition Platinum Hit, which costars former American Idol judge Kara DioGuardi. Jewel is also working on a children's album.