The baby weighed in at seven pounds and measured 20 inches when she was delivered in Los Angeles yesterday.
The actress suffered from post-natal depression after the birth of her first child.
Shields wrote a book about the experience, Down Came the Rain: My Journey Through Postpartum Depression, and has spoken out about using antidepressants to help with the problem.
Last year, she was famously criticized by Tom Cruise who, as a Scientologist, opposes psychiatry and prescription medication to combat depression.
Shields used IVF (in-vitro fertilization) treatments to become pregnant with her first child, but was able to conceive her second child without the fertility treatments.
The Suddenly Susan star told People magazine, "This pregnancy has been a lot easier.
"Nothing is going to shock me anymore. I am more prepared."
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