The newborn joins the actress' five-year-old son Wylie, she has with ex-husband Peter Loughran.
Headey, 41, took to Twitter to share the news with her fans, reported People magazine.
"Hello peeps. All good. Just fallen in unconditional heartbreaking divine love for the second time," she announced in a cryptic twet.
She first confirmed she was pregnant in February, and asked everyone to give her space so she could soak up the special time in her life.
In May, Headey revealed she was expecting a daughter, while penning an essay in support of women's rights.
My daughter will have freedom of choice. She will be free to dance, to sing, to be educated in the fields that spark her passion, to marry if she wants, to marry WHO she wants, to remain single, or to fall in love with another woman," she said.