Zara Tindall, wife of retired rugby player Mike Tindall and daughter of Princess Anne, was expecting her second child next year.
The pregnancy was announced last month.
The baby would have been the Queen and Duke of Edinburgh's sixth great-grandchild.
"Very sadly, Zara and Mike Tindall have lost their baby. At this difficult time, we ask that everyone respects their privacy," the couple's spokesperson said.
The couple have a daughter Mia who will turn three next month.
Equestrian champion Zara Tindall and her husband were married in 2011.
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