Her first name is pronounced Lay-na - a spokesman for the couple said: "It was just a name they liked".
According to Nameberry, the name Lena is a girl's name of English origin.
While we thought they might pick a name from the top baby names for 2018, they have chosen something a little more unusual.
One official statement revealed that the happy parents named their second addition to the family Lena Elizabeth Tindall!
Her husband was present at the birth.
Lena, like her mother, is not an HRH and does not have a royal title.
Zara is the daughter of Princess Anne and her ex-husband Mark Phillips. She is an accomplished equestrian who won a silver medal at the London Olympics in 2012.
"The weight of the baby was 9lbs 3oz".
The newest baby born to the Royal Family is the younger sister of four-year-old Mia Grace Tindall and second cousin to Prince George, Princess Charlotte and Prince Louis.
The new baby is the heaviest royal baby to be born in over 100 years.
Lena is the second new arrival for the Royal Family this year after Prince William and the Duchess of Cambridge welcomed Prince Louis in April.