This is their second child. The couple has son, Shivansh who born in March 2011.
"My wife delivered a cute little baby girl today (Monday) morning at 10.00 in Breach Candy hospital. Both the mother and the daughter are perfectly fine. It was a normal delivery. Thanks a lot for your wishes," Gupta, known for directing hits like "Kaante" and told IANS.
As the news came out, the film fraternity has started sending their wishes to the couple and the newborn through Twitter.
"Congrats my brother Sanjay Gupta. A new angel arrives in the family... Shivansh gets a new rockstar company. Love you a lot," tweeted actor Sonu Sood.
Milap Zaveri tweeted: "Congrats Sanjay Gupta on becoming father to a baby girl! Shivansh gets a sister! Yay! Loads of love to Anu."