Zara and Mike Tindall have lost their baby, a spokeswoman for the couple said.
Equestrian champion Zara - the Queen's granddaughter - and former England rugby player Tindall announced at the end of November they were expecting their second child.
But a spokeswoman for the couple said: "Very sadly, Zara and Mike Tindall have lost their baby. At this difficult time, we ask that everyone respects their privacy."
The spokeswoman would not give any details about the circumstances surrounding the loss of the couple's baby but it is understood Zara is not in any medical danger.
Buckingham Palace declined to comment on the private matter.
Zara and Mike already have a daughter Mia, who is nearly three and were said to be thrilled about the prospect of another child.
The baby was due around late spring and would have been the Queen and Duke of Edinburgh's sixth great-grandchild.