Alex Rodriguez is back at his old stomping ground -- but this time, he brought the family.

The former New York Yankees star took to Instagram on Saturday to share a photo of his fiancee, Jennifer Lopez, her twins -- Max and Emme -- and his two daughters -- Natasha and Ella -- at the Yankees game against the Baltimore Orioles at Yankee Stadium.

"A perfect Saturday afternoon. Family. Friends. And a game at @yankees Stadium! #PinstripePride #NYC #BronxBombers #HomeSweetHome @mlb @jlo @egt239." A-Rod, 43, wrote alongside the smiling family photo. In the pic, Lopez, 49, is casually dressed in jeans and white jacket, and has Emme sitting on her lap.

The retired baseball player also posted an Instagram Story video of his family singing along to "Take Me Out to the Ball Game."

In another clip, Max is wildly dancing in his seat. "On fire, on fire, on fire," Rodriguez is heard saying.

Lopez and Rodriguez got engaged earlier this month after dating for about two years. Despite their years-long relationship, a source told ET that Lopez "was shocked" by his beach-side proposal.

"Jennifer was shocked as the two talked about marriage, but she wasn’t aware he’d be proposing that day," the source said. "Both Alex and Jennifer have been married before, and official wedding planning hasn’t started, but the two do want to celebrate the day with their family and famous friends. The couple loves to entertain and have fun, and their wedding will be nothing short of incredible"

For more on the power couple and their engagement, watch below.

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