The actress made the declaration on social media while sharing a workout video.
"Sophie Turner and Joe Jonas are delighted to announce the birth of their baby," they said in a statement released through his label Republic Records.
The couple was quiet about the pregnancy and gave no further details on the baby.
Turner, the England-born actor who played Sansa Stark on Game of Thrones for eight seasons, and Jonas, the Arizona-born musician who came to fame in a band with his brothers on the Disney Channel, began dating in 2016 and married last year.
They live in Los Angeles, and the baby is the first for both.
The actress made the declaration on social media while sharing a workout video.
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