The actress, 41, announced the amazing news on Twitter on Friday night (10 July).
Lena wrote: "Hello peeps. All good. Just fallen in unconditional heartbreaking divine love for the second time."
Her fans were quick to send their congratulations, with many referring to her child as a "princess" because of her role in GOT.
One wrote: "OMG! The little princess is born?? Congrats Lena!!! I'm so happy for you! Kiss her for me !!!! I love U!"
Another joked: "All hail the new Lannister princess! #congratulations."
Hello peeps . All good. Just fallen in unconditional heartbreaking divine love for the second time.— lena headey (@IAMLenaHeadey) July 10, 2015
Lena plays complicated Queen Cersei Lannister in the mythical TV series Game Of Thrones, which is watched by 15 million people.
She announced her pregnancy in February, telling People magazine: "I'm happy to confirm that I'm having my second child this summer."
But she did not reveal the identity of the father.
In May, she confirmed she was having a girl.
Lena is already mum to Wylie, five, her child with musician ex-husband Peter Loughran.
She has made no secret of wanting more kids, previously saying: "My dream is to have more kids. I love being a mum, and that's been the hardest thing for me, trying to put to bed my desire to have more children. But there's always adoption."
A huge congratulations to Lena!
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