She and her boyfriend, Sam Cooper, asked for privacy at what they described as a "deeply distressing time".
The star's spokesman said: "It is with great sadness that we have to confirm that Lily Allen and Sam Cooper have lost their baby. The couple ask that their privacy be respected and that they be left alone at this deeply distressing time."
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Hide AdAllen, 25, had a miscarriage when dating Chemical Brothers star Ed Simons in 2008 and had often spoken in interviews of her desire to have a child.
She was about six months pregnant.