Penny popped the question on Oct. 4.
"We kept it quiet because my family is in New York and Brad's family is in Oklahoma so we kind of wanted them to come out and celebrate and be a family first before we let the cat out of the bag," the Dancing with the Stars pro said.
Smirnoff and Penny, a pitcher for the St. Louis Cardinals, have been dating since October 2009. The pair, both 32, met through a mutual friend, Ultimate Fighting Championship star Chuck Liddell.
She previously had been engaged to fellow Dancing with the Stars pro Maksim Chmerkovskiy.