Like Prince William and Kate Middleton the couple also chose the Chapel Royal St James's Palace for the occasion, which was an entirely private affair.
Freddie, 34, and Sophie, 33, are based in Hollywood, where he works for JP Morgan and she has been making a splash in the TV industry, most notably in Two and a Half Men as Ashton Kutcher's love interest.
They decided to return home for the baptism and will also be at Buckingham Palace for the Queen's annual family lunch when they hope to get Maud together with George.
Earlier this year the delighted new parents posed for HELLO! at their home in America with his father and mother Prince and Princess Michael of Kent. In the interview they explained the choice of names for their little girl.
Freddie said: "We liked the idea of an old-fashioned English name and there are a couple of Princess Mauds in my father's family from a hundred years ago – one was the youngest daughter of Edward VII who ended up being Queen of Norway, and another a grand-daughter of Edward VII by his daughter Princess Louise.
"It's also a beautiful, elegant name and it was always our first choice. Elizabeth is a tribute to the Queen, Daphne is Sophie's grandmother, who she was very close to and Marina is my paternal grandmother."
The Queen, who is Prince Michael's cousin, had to give her consent when the couple married three years ago in keeping with the Royal Marriages Act. The courtship began when friends made the introductions on a night out.
Since they are both crossword fanatics, Freddie asked for her hand by spelling out his proposal on a Scrabble board. A lavish wedding in Hampton Court Palace followed.