Morning my love, so glad you started a new thread. When this happened to me, my MN threads were a lifesaver. You will be overwhelmed with advice/things to do but I'm going to say a few things that I'd wished I'd done at the time and practical tips. Like you, I had a toddler and was completely blindsided.
Firstly, keep communication with him to a minimum. Look at the Grey Rock method. At the same time, block OW everywhere. She's got to go to work this morning knowing that she's thrown a bomb into your life. Don't give her any oxygen.
Read "The Script" that can be found on here. This will prepare you for his excuses, gaslighting and ultimately blaming you for his actions.
Find a solicitor for an initial consultation. On the back of that, make sure you know exactly where all important financial documents are and keep them to one side. Withdraw cash from the bank before he does. I'd be striking while the iron is hot because he is more likely to agree to things while feeling guilty and that WILL change. When he realises the impact of his behaviour he will be nasty. Do it while you can.
Don't change the locks. He's entitled to access to his home and you can't stop that at this stage. Doesn't mean you have to be there.
Speak to midwife/GP.
Don't play the "pick me" dance like I did. He's betrayed you for a whole year and during your pregnancy. He won't change and accepting he's a cheating arse is better than thinking you can somehow salvage this.
Lean on friends and family (and us here). There will be many women who have been through this exact scenario and who can tell you that you will be OK, however distressing things are now.
Apply for UC if you're entitled (easy to do online and extra cash hopefully). Get the council tax reduction as a single person. Make sure child benefit is in your name.
I'm sure there will be other things to mention but for now, it's practicalities and getting your ducks in a row as it were.
It sounds as if you have an amazing family and will have a lot of support to see you through. You WILL get through this and life will be happy again. One foot in front of the other 