Zara's mother Princess Anne was seen visiting the couple later in the day. The 63-year-old, who was wearing a long coat, a hat and sunglasses, was spotted driving near the entrance of her estate.
A statement from Buckingham Palace read: "Mrs Michael Tindall today safely delivered a baby girl at Gloucestershire Royal Hospital. Mr Tindall was present at the birth. The weight of the baby was 7lbs 12oz (3.5 kg.)
"The Queen, The Duke of Edinburgh, The Princess Royal, Captain Mark Phillips and Mike's parents, Mr Phillip and Mrs Linda Tindall, have been informed and are delighted with the news. The baby's name will be confirmed in due course."
The little girl, who is the Queen's third great-grandaughter, will be a playmate for Prince William and Kate Middleton's son Prince George.
Since 32-year-old old Zara is godmother to the future King the two children are bound to grow up close. One of her most high-profile appearances in the last months of her pregnancy was at George's christening.
Her brother Peter Phillips also has two little girls, Savannah, who turned three on 29 December and Isla, 22 months.
Even then the athletic royal carried on riding past her first trimester until it got too uncomfortable with her bump. The daughter of Princess Anne then swapped the saddle for the stove, revealing that she'd been baking to pass the time.
The couple chose to keep the baby's gender a surprise.
Ahead of the birth, 35-year-old Mike said he was really "looking forward to it" but that he and his wife hadn't done much preparation. "It probably happened quicker than we thought," he laughed. "[It was a] Bit of a shock, really."