The baby shower was held at Cooper's Hawk Winery & Restaurant, a winery and restaurant chain based in the Midwest.
"Baby shower number 2 #grateful #babyshower #2showers1dress #pregnant #marriedatfirstsight #babygirl #mafshappilyeverafter," Ashley captioned a series of photos Monday on Instagram.
The shower's attendees included Danielle DeGroot and Sheila Downs, who also appeared on the fifth season of Married at First Sight. Danielle and Sheila were married to Cody Knapek and Nate Duhon, respectively, but both marriages ended in divorce.
Ashley's first baby shower took place in Michigan, where Anthony's family has a significant presence, over the weekend of October 28.
Ashley wore a pretty mid-length black floral dress to both baby showers, and her bash in Chicago featured a beautiful pink and white cake adorned with gold beads, pearls, ribbons and ruffles.
Ashley, a 32-year-old suburban bar manager, and Anthony, a 35-year-old sales and marketing professional, tied the knot on Married at First Sight's Chicago-based season, which aired last year.
"Girls seem to be the first born on both [sides] of our families so we can't say we were surprised... All we were really hoping for was a healthy baby though. I don't think either of us really had a preference on the sex of the baby," Anthony told People at the time.
"As the dad, my first thought was, 'Oh man, I'm in trouble!' I know she will have me wrapped around her little finger. Ashley can't wait to do all the girl things that moms do with their daughters and I can't wait to watch them bond."
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