The pair revealed they are now planning a "beautiful funeral" for their daughter Poppy, who was born eight and half months into the pregnancy, reported Sun online.
"Dawn and I are devastated to announce that we've lost our baby. Poppy Barlow was delivered stillborn on August 4 in London.
"Our focus now is giving her a beautiful funeral and loving our three children with all our hearts. We'd ask at this painful time that our privacy be respected," the couple announced in the statement.
The couple, who have been married for 12 years, said in April this year that they were excited to be expecting another girl.
The couple have three children - Daniel, 11, and daughters Emily, nine, and Daisy, three.
The British star is expected to make a public appearance at the Olympic closing ceremony this Sunday, but at the moment it is unclear whether or not these plans will change.
