The Saturday Night Live star and her husband, director Paul Thomas Anderson, welcomed daughter Lucille on November 6 in Los Angeles.
The couple chose not to find out the sex of the baby prior to delivery, as they did with their first daughter Pearl.
"We didn't find out with [Pearl], which was kind of fun," Rudolph, 37, told David Letterman.
She added: "Because when you're ready to throw in the towel and you've got nothing positive to think about or feel, because you're so heavy and you want to float in a pool of salt water to be buoyant, it was nice to have something to look forward to."
