Muppet Alex is a new character, introduced to the show as part of its 'Little Children, Big Challenges: Incarceration' initiative, which helps support children with a mum or dad in jail.
On his first show, Alex tells his new friends: "My dad is in jail. I don't like to talk about it; most people don't understand."
Alex won't be a regular on the show, but is getting a huge online presence. Sesame Workshop - the non-profit organisation that runs Sesame Street - has launched an online toolkit to help children who have parents in prison.
It includes poster kits to help young children express themselves, and advice for parents on how to talk to children about their situation.
According to a new report, one in 28 children in America now has a parent behind bars.