The singer told her Instagram followers that she and partner Sam Asghari had "lost our miracle baby".
It comes months after she escaped a legal arrangement that gave her father control over many aspects of her life, including her reproductive health.
The 40-year-old, who has two teenage sons, previously said she wanted a family with personal trainer Asghari.
"It is with our deepest sadness we have to announce that we have lost our miracle baby early in the pregnancy," she wrote in a post on Saturday.
She continued: "This is a devastating time for any parent.