Henson and his wife, comedian Jill Benjamin, welcomed their first son, Jackson Wright, on March 7.
"Mom, dad and baby are happy and healthy," his rep told People.
Henson, 43, said he loves watching his newborn laugh. "There is nothing better than a spit take with breast milk," he joked.
The couple decorated Jackson's nursery with the same circus theme they had when they wed in June.
"It seemed logical for us to carry that circus theme over to the nursery because, as we like to say, we took our love and made a person out of it," he says. "We want the child to grow up with that kind of sense of fun and imagination."