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Their baby daughter joins the couple's beloved golden retriever Gary Frick.
Jimmy, 38, married film producer Nancy, 46, in December 2007.
Nancy co-owns Flower Films with friend Drew Barrymore, who will no doubt be on hand to offer the couple advice on parenthood. Drew also recently became a first time mum, when she welcomed her daughter Olive in September.
Jimmy looks set to have a busy 12 months — and not just with nappy changes. He is set to take over from Jay Leno on The Tonight Show next year, when Jay retires after 22 years fronting the popular programme.
"Congratulations, Jimmy. I hope you're as lucky as me and hold on to the job until you're the old guy," Jay said in a statement released by NBC. "If you need me I'll be at the garage." (Jay has an enviable classic car collection).
Jimmy isn't the only star who welcomed a baby this week. Penelope Cruz and Javier Bardem had their second child, a little girl, on Monday, the same day that Kate Middleton gave birth.
Meanwhile, Ben Fogle has revealed that his sister Tamara welcomed a newborn baby boy on Tuesday, in the same hospital as the Duchess. "Another boy!! Thank goodness for epidurals #theotherbaby #proudbrother," tweeted the star, who is a good friend of new dad Prince William.