Ramona made her early entrance Tuesday night, Gyllenhaal's publicist told E! News, adding mom, dad and daughter are "happy and healthy."
Gyllenhaal, 28, gave birth at an undisclosed hospital shortly after 8 p.m. Tuesday, the New York Daily News said.
The couple announced their engagement and pregnancy last April.
Gyllenhaal, 28, and Sarsgaard, 38, have been together for four years.
Gyllenhaal currently has three films in theaters -- "Sherrybaby," Oliver Stone's "World Trade Center" and "Trust the Man." She is the sister of actor Jake Gyllenhaal.