Romijn's longtime friend Howard Stern announced the news on his Sirius radio show Monday.
Born Dec. 28, the children are the first for Romijn and her actor husband Jerry O'Connell. The couple married in July 2007.
Romijn is best known for her roles in the "X-Men" movies and on the TV series "Ugly Betty." O'Connell's film credits include "Stand By Me," "Jerry Maguire" and "Kangaroo Jack." He has also starred in the TV shows "Sliders," "Crossing Jordan" and "Carpoolers."
"Mother, father and both girls are all home and doing well," Romijn's publicist Lewis Kay told People.