"We are happy to confirm that Maggie and Peter were married on Saturday," Gyllenhaal's representative told Usmagazine.com.
The couple lives in New York with their 2-year-old daughter, Ramona.
The entertainment news Web site said the couple wed at a small chapel at the posh Masseria hotel in Brindisi, near Rome. Among the guests were the bride's actor brother, Jake Gyllenhaal and his girlfriend, actress Reese Witherspoon.
Maggie Gyllenhaal's screen credits include "Donnie Darko," "Secretary," "World Trade Center" and "The Dark Knight."
Sarsgaard has starred in "Shattered Glass," "Jarhead," "Kinsey" and "The Skeleton Key."