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."
No further details about the circumstances were given but is understood Zara is not in any medical danger.
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.
Zara missed out on the Rio Olympics this year after she failed to make the British Equestrian Federation's nominated rider list.
The former world eventing champion helped the Great Britain team win a silver medal at London 2012 and had been hoping to bring back a gold from Brazil.