The baby, who weighted 8 lbs. 1 oz. at birth, is named Nolan Shannon Chesnut. The couple also have an 18-month-old, Stella.
Shannon, 40, known for her SNL characters Mary Katherine Gallagher and Helen Madden (the nerdy parochial-school student and licensed joyologist, respectively), is set to appear as Anne Victoire, the aunt of Marie Antoinette, in Sofia Coppola's upcoming period piece, Marie Antoinette.