Publicist Nanci Ryder told The Associated Press that the 38-year-old Gayheart gave birth Wednesday in Los Angeles.
She said in an e-mail Thursday that "mother, father and daughter are doing great."
The name of the girl was not immediately known.
The 37-year-old Dane stars on the ABC drama "Grey's Anatomy" and most recently played a Brett Favre-esque retiring quarterback in the movie "Valentine's Day." His wife is best known for roles in television shows that have included Fox shows "90210" and "Vanished."
The couple married in 2004.