Lilibet "Lili" Diana Mountbatten-Windsor was born on Friday morning in a hospital in Santa Barbara, California.
Both mother and child are healthy and well, Prince Harry and Meghan said in a statement.
The couple said they named their second child Lilibet after the Royal Family's nickname for the Queen, the baby's great-grandmother.
Her middle name, Diana, was chosen to honour her "beloved late grandmother", the Princess of Wales, the statement said.
Lilibet was born at 11:40am local time, weighed 7 lbs 11oz and is now "settling in at home".
