Formal:
* Nous sommes très bénis. (This is the most literal translation and sounds quite formal.)
* Nous sommes très reconnaissants. (This translates to "we are very grateful", which is a more nuanced way of expressing being blessed.)
Informal:
* On est vraiment chanceux. (This translates to "we are really lucky" and is a more casual way of expressing being blessed.)
* On est vraiment privilégiés. (This translates to "we are really privileged" and conveys a sense of being fortunate in a more specific way.)
More poetic:
* Nous sommes comblés de bonheur. (This translates to "we are filled with happiness" and is a more poetic way of expressing being blessed.)
The best option for you will depend on the context and the level of formality you desire.