The couple welcomed Ramona into the world on Tuesday, Gyllenhaal's representative, Amanda Silverman, said in a statement to The Associated Press. The news was first reported by People magazine.
"Mom, dad and baby are healthy and happy," Silverman said.
In April, Silverman told the AP that Gyllenhaal, 28, and Sarsgaard, 35, were engaged and expecting a baby. It will be the first marriage for both.
Screen credits for Gyllenhaal include roles in Oliver Stone's "World Trade Center," "Mona Lisa Smile," "Secretary" and "Donnie Darko," co-starring her brother, Jake Gyllenhaal.
Sarsgaard, 35, starred alongside Jake Gyllenhaal in last year's Gulf war drama "Jarhead." His screen credits also include "Boys Don't Cry," "Shattered Glass" and "Kinsey."