She announced the name of her baby girl on Instagram. Her newborn baby carries the same name as her father, Reddit co-founder Alexis Ohanian.
She also told of how the family had to spend six days in the hospital after her arrival because of complications.
'Look what we got! A baby girl' she said the end of the video, showing Alexis Jr.
She does not elaborate on the complications but indicated there was an extended hospital stay.
"So we're leaving the hospital after six, seven days," the tennis champion said in the clip. "It's been a long time, but we had a lot of complications, but look who we got - we got a baby girl."
The video was also posted to YouTube by Ohanian.
Williams, 35, and fiance Ohanian, 34, welcomed their first child on September 1 in West Palm Beach, Florida, where their baby girl weighed in at 3.1kg.
She also posted a photo of her daughter resting on her shoulder to Instagram.
The caption said: "Meet Alexis Olympia Ohanian Jr. You have to check out link in bio for her amazing journey. Also check out my IG stories."
The video also shows how Williams knew two weeks before playing the Australian Open that she was pregnant.
She even cheekily kisses her Australian Open trophy and calls it "my baby", while her Snapchat caption states, "No one knows I am 8 weeks pregnant."
Many fans reacted across social media, congratulating the couple.
On Reddit, one person wrote: "Omg! Such a beautiful glimpse into your journey preparing for the arrival of your baby girl! Thank you both for sharing this personal and amazing journey with us. Congrats on baby Alexis, she is beautiful like her mama and papa."
The couple, who got engaged in December 2016, accidentally revealed they were expecting in April after Williams posted a Snapchat of her baby bump at 20 weeks.
Williams is set to hit the tennis circuit again in 2018.