Zara and Mike Tindall have lost their baby, a spokeswoman for the couple said. The Queen's granddaughter - who lives at Gatcombe in Gloucestershire - announced last month that she was expecting a 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 couple already have a daughter: Mia, aged 3. The baby would have been the Queen's sixth great-grandchild.
Zara and Mike Tindall are expecting a second child.
The couple already have a daughter, Mia Grace, who was born in Gloucestershire in 2014. They are said to be thrilled with the news.
The new baby, due around late spring, will be the Queen and Duke of Edinburgh's sixth great-grandchild.
The former England and Gloucester star took to Twitter to thank well-wishers: