The 38-year-old actress, who already has a 3-year-old girl called Frances with husband David Benioff, gave birth to Molly on April 19 in New York City.
Showing David Letterman images of the new baby on his chatshow, Peet said: "This our first video of Molly June, she's a few days old. It breaks my heart. This is the video where we realise she's in the state of life where you basically think that everything is a boob."
Peet said that she and Benioff "had a hard time" choosing her name and were "fighting about it a lot".
She added: "You can't leave the hospital until you sign a paper with the name, so we got right up to the point where the nurse was trying to usher us out of the hospital and the car seat was in the car, and we still couldn't choose between Maya June and Molly June.
"Finally David my husband tore off two bits of paper and wrote a name on each and put them behind his back, and I chose one of them and it was Maya - then I got really upset!"
Peet told Us Magazine of the new arrival: "She's great. I'm in love with her!"