Named Thatcher Bray Brunt, the new addition weighed in at eight pounds, two ounces, with brown hair and blue eyes.
Kelly, 42, has two other children with husband Doug Brunt; daughter Yardley is aged 2 and son Yates is 3.
Shannon Bream delivered the news during "America Live," usually hosted by Kelly. Bream said that mother and baby are doing just fine, and that Kelly says baby Thatcher is "totally awesome!"
Bream flashed a smartphone picture of the newborn on the air, and said more pictures would be soon to follow.
When Kelly returns to Fox News after her maternity leave, she will be moving to primetime.