They have welcomed their first children into the world Ava Elisabeth, Bella Annie and Kenzie Lee amid the evolving coronavirus pandemic, but say it hasn't proved too much of a hassle.

Born at almost 34 weeks at the Royal Women's Hospital on August 3 at 11.16am, 11.18am and 11.21am, Ava, Bella and Kenzie are fraternal, natural trichorionic triamniotic (TCTA) triplets who look very similar despite not being identical.

"We can tell them apart when we're with them but looking through photos it can be hard," Mrs Pilgrim laughed. "Ava is chilled, quiet and content, Bella is very active and loves food, she's the biggest by 200 grams. Kenzie was always the littlest until the last couple of weeks, she's the most wiggly and vocal so we call her little squeak.

When the Warrnambool couple went in for their first scan after eight weeks they thought they would be meeting one baby and were shocked when they found out there were three given no family history of twins, let alone triplets.

"We slightly panicked and didn't believe it because we didn't understand what we were seeing," Mrs Pilgrim said. "It took us a week to two weeks to realise and accept what was happening.

"I was sent to Melbourne for care almost immediately after. We had a lot of back and forth travel and by about 24 weeks I was going in for weekly appointments and then I stayed."

There has been some extra restrictions due to the pandemic.

"At no time did we see any of negatives," Mr Pilgrim said. "Restrictions in hospital limit one parent per child, so because we have three, we can both be here."

The Pilgrim family is still in Melbourne and awaiting the availability of beds to transfer home to Warrnambool hospital. The new parents are eager to bring their girls home to meet their grandparents Darren and Tracey Parker and Lorna and Stuart Pilgrim, as they're the first grandchildren on both sides.

"They're going fantastic and almost breaking records," Mr Pilgrim said. "One needed breathing assistance but that was only for six hours. They're all taking full feeds, at either their birth weight or past it. They're our little miracle triplets."