"The Office of the Marshal of the Realm is delighted to announce that H.R.H. Princess Madeleine gave birth to a daughter on February 20, 2014 at 10.41 pm local time New York," the Swedish court announced.
"Both mother and child are in good health."
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Madeleine's husband, American banker Chris O'Neill, was reportedly present at the birth, which took place at New York Presbyterian Weill Cornell Medical Center.
The couple live in New York where Madeleine works for the nonprofit World Childhood Foundation, founded by her mother, Queen Silvia.
Madeleine posted a snap of herself reading messages from well wishers a week before giving birth
They confirmed that they had made the decision to welcome their baby girl in the city they have called home for several years and not in Madeleine's home country Sweden, in January.
However, the happy news will still be marked with some fanfare in her home country with the firing of a 21-gun salute in Stockholm as well as other locations such as Boden, Harnosand, Karlskrona and Gothenburg.
Madeleine and Chris became engaged on 25 October 2012 and married in fairytale ceremony in Stockholm on 8 June 2013.
The name of their baby daughter and her title will be announced after King Carl Gustaf meets the cabinet.