"Both mom and baby are doing great," Baum said Monday.
The Australian actress, 40, and her 41-year-old actor-boyfriend are also parents to Alexander Pete Schreiber, born in July 2007.
They have been dating three years and co-starred in the 2006 drama "The Painted Veil." Schreiber can next be seen in "Defiance," set for release later this month. Watts' credits include "Eastern Promises" and "King Kong."