Zara Tindall, Queen Elizabeth II's grand-daughter and the daughter of Princess Anne, suffered a miscarriage, said her spokesperson on Saturday.
She and her husband, retired rugby player Mike Tindall, had been expecting their second child. The pregnancy was announced last month.
A spokeswoman for the couple said Saturday the couple have "lost their baby" and asked for privacy during a difficult time.
Zara Tindall was a champion equestrian using her maiden name Zara Phillips. She switched to her married name this year.
The couple have a 2-year-old daughter, Mia.
The baby had been expected in late spring.
(With inputs from AP)