"Welcome to the world little Margaux McKay. A Halloween treat born on the 31st of October at 6.58pm - just in time for a breaking news banner. We are smitten," she captioned the snap.
The couple wed last year after McKay shot to fame last year for being Prime Minister Jacinda Ardern's "hot hipster-bearded bodyguard".
Twitter users swooned over McKay after he was seen protecting Ardern at Labour's campaign launch at the Auckland Town hall, labelling him a "hipster spook".
The pair tied the knot at Mudbrick Vineyard on Waiheke Island - with Mutch's colleague Matty McLean performing celebrant duties.
During her pregnancy, Jessica continued to work right up until she was 38 weeks pregnant.
"There was a bit of me that wanted to be that heavily pregnant and on TV, and just doing a job. I wanted to prove a point a little bit," she said in an interview with NowToLove.
She says that she wants to make women working while pregnant not to be a "thing".