Federer posted an announcement on his Web site that Charlene Riva and Myla Rose were born Thursday night.
"This is the greatest day of our lives. Mirka, Myla and Charlene are all healthy and doing very well," Federer said.
Federer married Mirka Vavrinec, who played 1998-2002 on the women's tennis tour, in April. They met at the 2009 Summer Olympics in Sydney.
Federer has had a big year in 2009. In addition to getting married in April, he defeated personal nemesis Rafael Nadal in the finals of a clay-court tournament in May, won his first French Open title in June and sixth Wimbledon championship in July.
The Wimbledon victory gave him a record 15 Grand Slam titles and returned him to the world No. 1 ranking.