The 38-year-old, who gave birth at a Sussex hospital earlier this month, has two children from previous marriages but this is her first with new husband Ned RocknRoll, a nephew of Sir Richard Branson.
Her first, Mia Honey, was with film director Jim Threapleton; the second Joe Alfie, with director Sam Mendes.
A publicist for the star confirmed the new baby's first name but declined to give further details.
Winslet, who won a best actress Oscar for The Reader in 2008, grew up in Reading, Berkshire.
She was praised for early appearances in Heavenly Creatures and Sense And Sensibility, but became a worldwide star after her role in the smash hit Titanic.