"It's the perfect thing to do during a pandemic, is get pregnant and have a baby," the Game of Thrones actress, 39, joked during Tuesday's episode of the That's After Life! podcast
"Venus In Fur" - Press Night - After Party

Natalie Dormer is a new mom!

The Game of Thrones actress, 39, revealed the news that she welcomed a baby girl in January during Tuesday's episode of the That's After Life! podcast.

"It's the perfect thing to do during a pandemic, is get pregnant and have a baby," she joked to hosts Esther Rantzen and Adrian Mills. "I feel like I'm probably being a bit of a cliche. She'll probably be sitting in a bar in 30 years' time… going, 'Yeah, I'm a COVID baby!'"

She added, "I think there's going to be lots of COVID babies, because what else could people do?"

The baby is Dormer's first with her partner, actor David Oakes. She hasn't posted photos or addressed her news on social media just yet.

And although the infant is just 12 weeks old, Dormer said her daughter has already changed the way she views the world.

"She's just three months and she's an absolute joy, but I'm never going to complain about shooting hours ever again because sleep deprivation is something else," she joked.

"People say, 'Your whole perspective on life will change, and your whole set of value system…' and you sort of roll your eyes and go, 'Yeah, yeah…' – and then you have one (baby) and you go, 'Oh, wow!'"

The BRIT Awards 2019 - Red Carpet Arrivals
Credit: Jeff Spicer/Getty

Never miss a story — sign up for PEOPLE's free daily newsletter to stay up-to-date on the best of what PEOPLE has to offer, from juicy celebrity news to compelling human interest stories.

Dormer added that she's preparing to return to work in the near future — hopefully in a theater role that will allow her to stay in London, close to her family.

"I'm going to find it very difficult, I think," she said of returning to work and leaving her newborn. "You don't want to warp the childhood experience."

She continued, "People in the industry that I'm in do lean on nannies and they do that for a reason, so that they can take children with them. But, I mean for me, this is the perfect time to go back to the stage, because then I could be with her all day. But with COVID, who knows when that will happen."

It's thanks to West End that Dormer met Oakes, after they both worked on the play Venus in Fur in 2019.