Gyllenhaal and her husband, actor Peter Sarsgaard, welcomed Gloria Ray on April 19 in New York. No further details were released.
The couple had their first daughter, Ramona, in 2006. They got married in 2009.
The 34-year-old Gyllenhaal has appeared in films including "The Dark Knight" and "Secretary." Her next movie, "Hysteria," is set to hit the big screen on May 18.
The 41-year-old Sarsgaard has been seen in movies such has "Shattered Glass," "Jarhead" and "Green Lantern." He will be seen next in "Lovelace," which is scheduled to hit theaters this year.
The Associated Press contributed to this report.