The couple's daughter, Lucille, was born Nov. 6 in Los Angeles, the Saturday Night Live alum's rep tells PEOPLE exclusively.
Lucille joins big sister Pearl, 4. As with their first child, Rudolph and Anderson, 39, chose not to find out the sex of the baby prior to delivery.
"We didn't find out with [Pearl], which was kind of fun," Rudolph, 37, told David Letterman.
"Because when you're ready to throw in the towel and you've got nothing positive to think about or feel, because you're so heavy and you want to float in a pool of salt water to be buoyant, it was nice to have something to look forward to."
The couple announced the pregnancy in May.
Reporting by JULIE JORDAN