Up to 15 people are reported to have been injured in the attack. US Deputy Defence Secretary Paul Wolfowitz was in the hotel but wasn't hurt.
He said: "This terrorist act will not deter us from completing our mission."
Seventeen people died in a bomb attack on the United Nations HQ in Baghdad in August.
Since US-led troops arrived in Baghdad, people haven't been allowed on the streets at night - there's been a curfew.
But that was lifted on Saturday night for the start of Ramadan.
That's a big religious festival when Muslims fast each day for a month.