"Hello peeps . All good. Just fallen in unconditional heartbreaking divine love for the second time," she wrote.
No additional details, including the child's name, were made available, and a rep for Headey did not immediately respond to The Times' request for comment.
The 41-year-old British actress was noticeably absent from Friday's "Game of Thrones" panel at Comic-Con International. However, L.A. Times TV critic Mary McNamara was not: She was embedded with the cast as they made their way through the convention. Click over here to read her live tweets. [End shameless plug.]
Headey announced the pregnancy in February, declining to reveal who the child's father is. Headey is already mom to a 5-year-old son, Wylie, from her marriage to musician Peter Loughran. The couple wed in 2007 and divorced in 2013.
Weeks after her pregnancy reveal, the outspoken activist lobbied on behalf of her child in a guest essay for Plan International USA, also revealing that the baby would be a girl.
"My daughter will have freedom of choice," the "Dredd" and "Mortal Instruments" actress wrote. "She will be free to dance, to sing, to be educated in the fields that spark her passion, to marry if she wants, to marry WHO she wants, to remain single, or to fall in love with another woman. She'll be able to wear what she wants, put on lipstick, and read books that spark debate and expand her mind."
Headey added: "She will be loved, protected, respected, and celebrated. All these things that should be, and will be, basic human rights, are a promise to my daughter."
In April, the actress spoke to Hero Complex about how she relates to her cruel alter ego.
"The great thing about these characters is they are all, except for the White Walkers, living flesh and blood — people who have been really damaged by family relationships, by upbringing, by societal restraint, by all that good stuff," she said. "There doesn't seem to be a functional family in Westeros. I just move forward with [Cersei] in the way of somebody who had a really [bad] childhood.
"Like most of us who become parents, we don't want to retread a past that didn't work and she's trying really hard not to do that."