"I had a baby on Monday, yes," the Vinyl actor said during the show. "You know, I didn't do anything."
He continued, joking, "We [men] don't do anything and I'm so tired. I think I've gained 28 pounds since Monday. I mean, I'm not kidding you. Like, this jacket fit so well, like, last Thursday. But I've been eating so much."
Cannavale also revealed that his baby boy with Byrne, 36, is named Rocco and he "is doing well."
The couple, who have stayed pretty mum about their relationship, started dating in 2012 and have starred together in 2014's Annie and Adult Beginners.
See photos of Robse Byrne and Bobby Cannavale together:
Bobby Cannavale and Rose Byrne
Rose Byrne, Bobby Cannavale welcome baby boy
NEW YORK, NY - JUNE 07: Bobby Cannavale (R) and Rose Byrne attend the American Theatre Wing's 69th Annual Tony Awards at Radio City Music Hall on June 7, 2015 in New York City. (Photo by Bruce Glikas/FilmMagic)
NEW YORK, NY - JUNE 01: Actors Bobby Cannavale and Rose Byrne attend the 'Spy' New York Premiere at AMC Loews Lincoln Square on June 1, 2015 in New York City. (Photo by Gary Gershoff/WireImage)
NEW YORK, NY - APRIL 27: (EXCLUSIVE COVERAGE) Bobby Cannavale and Rose Byrne pose at the After Party for The Acting Company benefit production of Tennessee Williams' 'The Rose Tattoo' on Broadway at Barbetta on April 27, 2015 in New York City. (Photo by Bruce Glikas/FilmMagic)
NEW YORK, NY - MAY 04: Rose Byrne and Bobby Cannavale attend the 'China: Through The Looking Glass' Costume Institute Benefit Gala at the Metropolitan Museum of Art on May 4, 2015 in New York City. (Photo by Jamie McCarthy/FilmMagic)
LAS VEGAS, NV - APRIL 23: Actor Bobby Cannavale (L) and actress Rose Byrne, recipient of the Female Star of the Year Award, attend The CinemaCon Big Screen Achievement Awards Brought to you by The Coca-Cola Company at The Colosseum at Caesars Palace during CinemaCon, the official convention of the National Association of Theatre Owners, on April 23, 2015 in Las Vegas, Nevada. (Photo by Alberto E. Rodriguez/Getty Images for CinemaCon)
NEW YORK, NY - APRIL 21: Actors Rose Byrne and Bobby Cannavale attend RADiUS with the Cinema Society & Brooks Brothers host the New York premiere of 'Adult Beginners' at AMC Lincoln Square Theater on April 21, 2015 in New York City. (Photo by Jim Spellman/WireImage)
NEW YORK, NY - MARCH 18: Rose Byrne and Bobby Cannavale attend the 'Danny Collins' premiere at AMC Lincoln Square Theater on March 18, 2015 in New York City. (Photo by Taylor Hill/Getty Images)
AUSTIN, TX - MARCH 15: Actress Rose Byrne (L) and actor Bobby Cannavale arrives at the premiere of 'Spy' during the 2015 SXSW Music, Film + Interactive Festival at the Paramount on March 15, 2015 in Austin, Texas. (Photo by Michael Buckner/Getty Images for SXSW)
AUSTIN, TX - MARCH 15: Actors Bobby Cannavale and Rose Byrne take part in a Q&A following the 'Adult Beginners' premiere during the 2015 SXSW Music, Film + Interactive Festival at Topfer Theatre at ZACH on March 15, 2015 in Austin, Texas. (Photo by Michael Loccisano/Getty Images for SXSW)
MELBOURNE, AUSTRALIA - JANUARY 19: Actress Rose Byrne, and partner Bobby Cannavale looks on at Rod Laver Arena during day one of the 2015 Australian Open at Melbourne Park on January 19, 2015 in Melbourne, Australia. (Photo by Ryan Pierse/Getty Images)
NEW YORK, NY - SEPTEMBER 28: (EXCLUSIVE COVERAGE) Bobby Cannavale and girlfriend Rose Byrne pose at the Opening Night After-Party for 'You Can't Take It With You' on Broadway at Brasserie 8 1/2 on September 28, 2014 in New York City. (Photo by Bruce Glikas/FilmMagic)
NEW YORK, NY - OCTOBER 03: Rose Byrne and Bobby Cannavale pose backstage at 'Eric Bogosian's 100 Monologues' at The Bank Street Theater on October 3, 2013 in New York City. (Photo by Bruce Glikas/FilmMagic)
PARIS, FRANCE - JULY 02: (L-R) Rose Byrne with her companion Bobby Cannavale attend the Chanel show as part of Paris Fashion Week Haute-Couture Fall/Winter 2013-2014 at Grand Palais on July 2, 2013 in Paris, France. (Photo by Bertrand Rindoff Petroff/Getty Images)