The delighted couple announced they were going to be parents last month - and dad-to-be Alec, 54, was hoping for a boy.
But now they have excitedly revealed the child's gender.
"Alec and I are overjoyed that we are going to be welcoming a little girl into our lives," yoga instructor Hilaria excitedly revealed on TV show EXTRA.
Although the pregnancy came as surprise, Hilaria, 28, revealed that the pair couldn't be happier.
"It was something that we both wanted - I don't want to say it was a surprise and we didn't want it - we were very excited when we found out.
"But we just got married in June ... so it was a really nice Christmas present."
She added: "Alec had the idea for Massimo the other day. It's a lovely name but I don't know."
While the baby will be the couple's first child together, 30 Rock star Alec already has a daughter, Ireland, from his marriage to Kim Basinger.
Ireland Baldwin, 17, has already spoken of her excitement at getting a baby sibling. "I'm going to be a big half sister. Woah", she tweeted when the news broke, followed by, "My dad is pregnant guys."
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