The couple did not publicly confirm the pregnancy, but were spotted out with their newborn at a concert in September, reported Us Weekly.
Dinklage and Schmidt are already parents of a five-year- old daughter, whom they welcomed in 2011.
Schmidt, 42, showed off her growing baby bump in March when she walked the carpet alongside Dinklage, 48, at the premiere of The New Group's "All the Fine Boys," an off- Broadway play she wrote and directed.