"Very sadly, Zara and Mike Tindall have lost their baby. At this difficult time, we ask that everyone respects their privacy," a statement from their rep said.
The pair were expecting their second child - a sibling for toddler daughter Mia - in the late spring, and the baby would have been the Queen and Prince Philip's sixth great-grandchild.
Zara, 35, and 38-year-old Mike have been married since 2011 and announced their happy news at the end of November 2016, with their spokeswoman saying the couple were thrilled to be expecting again.
They were said to be "very, very happy" about becoming parents for the second time and were looking forward to 2017.
Mia's baby brother or sister would have been a second cousin to Prince George and Princess Charlotte, who call their great-grandmother the Queen "Gan Gan". Zara is also one of George's godmothers.
It comes as the royal family prepares to celebrate together at the Queen's Norfolk estate at Sandringham.
Prince Charles, Camilla Parker Bowles, Prince Harry and other members of the family are expected to attend church with the Queen and Duke of Edinburgh on Christmas Day morning - something that Zara and Mike have done in the past.
But it's not yet known whether the grieving parents will feel up to making the journey from their home in Gloucester.
Zara and Mike both attended a pre-Christmas lunch hosted by the Queen on Tuesday 20th December at Buckingham Palace, arriving by car the day before the Queen was scheduled to take her annual train journey to Sandringham.