The Queen's granddaughter gave birth to her second child, weighing 9lb 3oz, at Stroud Maternity Unit in Gloucestershire on 18 June.
Her husband was present at the birth.
A spokeswoman for the ex-Olympic horse rider and former England rugby union star: "The name is Lena Elizabeth. It was just a name they liked."
The name Elizabeth is in honour of the 92-year-old monarch.
Lena is 19th in line to the throne and the Queen and the Duke of Edinburgh's seventh great-grandchild.
She is the younger sister of four-year-old Mia Tindall, and also a second cousin to Prince George, Princess Charlotte and Prince Louis.
Lena, like her mother, is not an HRH and does not have a royal title.
The birth comes just over a year since Zara, a champion equestrian rider who won a team silver medal in the London 2012 Olympics, suffered a miscarriage.
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