The 40-year-old Tonight Show Host and film producer Nancy, 47, chose to keep the news that they were expecting their second child a secret until after the birth.
They also have a one-year-old daughter called Winnie Rose, who was born to a surrogate mother last year.
Frances was born at 8.45am on December 3, weighing 5 lbs 11 oz and measuring 18.5 inches long, according to a statement the couple issued to People magazine.
"The couple opted to keep their baby joy to themselves until their new daughter made her official debut," the statement reads. "Both Fallon babies were born via surrogate."
Jimmy later thanked his Twitter followers for their well wishes on behalf of his new arrival - and revealed her nickname
Franny sends her thanks.
- jimmy fallon (@jimmyfallon) December 3, 2014
Jimmy and Nancy were equally secretive about their first surrogate pregnancy.
"We said, "We're not going to tell anybody,"' Jimmy said on the Today show. "It'd be just more fun if it's just private between me and my wife. And then we get to introduce her to everybody.
"When it happened we were shocked... Who do we tell? Who's going to be mad at us? It's so emotional."
Jimmy also explained that Winnie was not named after Winnie the Pooh, but for Lake Winnipesaukee, the New Hampshire location where he and Nancy got engaged after meeting on the set of the film Fever Pitch.
According to our Baby Names Finder, the name Frances (and the nickname Franny) means 'free one'.
Congratulations Jimmy and Nancy!
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