The actress disclosed the details on The Graham Norton Show on 9 October, after Norton asked her about the gender of her baby and when she gave birth.
"Yep. It is a girl and she's three weeks old," she answered.
Rumours surfaced in early October that Mulligan had given birth after she arrived BFI London Film Festival without a bump, but until now she had not spoken out about her pregnancy at all.
Norton opened the show with a congratulations message to Mulligan, saying there was a "new little baby" since the last time they met.
Mulligan's pregnancy was "announced" by "unnamed" sources who told Us Weekly: "They weren't planning on announcing, but she hasn't stopped working. Everybody around her is being very supportive."
Mulligan wed the Mumford & Sons frontman in April 2012.
Now we know it's definitely true - a big congratulations to the couple.