"It's a girl," she gushed.
Now we know the baby girl's name too: Evelyn.
Carey didn't go into detail of the birth with Graham Norton.
"The baby is healthy," a source told Us Weekly just after the birth "They have been loving being parents and their friends and family are thrilled."
Reports first surfaced in June that the 30-year-old British actress was pregnant after she was spotted at a variety of events wearing oversized clothing to hide a growing bump.
The most noticeable was when Carey attended the 2015 Tony Awards donning a voluminous red gown.
The actress went under the radar again until last week when she attended the British Film Institute's London Film Festival wearing a baggy long-sleeve top and colorful knee-length skirt.
The fiercely private couple tied the knot in April 2012 in Somerset, England.