On 10 July 2015, Headey gave birth to her second child, a daughter named Teddy, with director Dan Cadan (her childhood friend, who also worked with Headey on his short film The Devil's Wedding).
10. júla 2015 porodila svoje druhé dieťa, dcéru Teddy, ktorú má s režisérom Danom Cadanom (jej kamarát z detstva, s ktorým pracovala na filme The Devil's Wedding).