 In 1994 , two years after Fey joined Chicago 's Second City improvisational theatre troupe , she began dating Jeff Richmond , a piano player who later became Second City 's musical director and then a composer on 30 Rock . They married in a Greek Orthodox ceremony on June 3 , 2001 . They have two daughters : Alice Zenobia Richmond ( born September 10 , 2005 ) and Penelope Athena Richmond ( born August 10 , 2011 ) . In April 2009 , Fey and Richmond purchased a US $ 3 @.@ 4 million apartment on the Upper West Side in New York City . 
