Nielsen, 54, announced her pregnancy last month on social media. The baby, named Frida, is the first child for her husband Mattia Dessi.
"We are overjoyed to welcome our beautiful daughter into our lives," the couple told People. "It's been a long road, and so worth it. We've never been more in love."
Related: Actress Brigitte Nielsen, 54, reveals fifth pregnancy in Instagram posts
People reported the baby weighed in at 5 pounds, 9 ounces.
The star of “Red Sonja” and “Beverly Hills Cop II” has been married four times before and has four sons. The oldest is 34.
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