The news have been confirmed by Us Weekly, but the couple, who are notoriously private about their personal lives, have not revealed the name or gender of their second baby.
The 48-year-old actor has reportedly been spotted out with Erica and their newborn at a concert in September, according to the publication.
The pair never made a public announcement about their second pregnancy, but Erica debuted her baby bump back in March
Despite not officially announcing their pregnancy, 42-year-old Erica debuted her baby bump back in March on a red carpet appearance for All The Fine Boys – a play that she wrote and directed.
The showbiz couple have been together for over 12 years but married in 2005, eloping to Las Vegas. They went on to welcome their first child, a daughter, in 2011.
Peter, who is well known for playing hilarious character Tyrion Lannister in the popular Game of Thrones across all seven series, has now successfully expanded his brood to make a family of four.
And it seems that there is much cause for celebration on the GoT set as his co-star Kit Harrington recently announced his engagement to Rose Leslie.
The notoriously private couple opened up about their baby girl in 2012 shortly after her birth, during the Golden Globe Awards. They are yet to reveal her name, although E! News reports that it's Zelig.
Giving a rare insight into their family life, Peter spoke of the glamorous night and leaving their daughter at home with a babysitter for the first time.
At the time, the new dad joked: 'Everything's fine – so far. She's a baby. Crying never killed anyone. Well, maybe that's not true.'
Back in 2011 old romantic Peter chose the Emmy awards stage to give a shout out to his wife.
When collecting his award he honoured her in his speech, telling her loved her. Addressing Erica whilst picking up his Emmy, he said: 'I love you, Erica. You're amazing.'