She wrote on her official Twitter account: "Charlotte and Jonny are very sad to announce that they lost their baby. Now is a time for grieving and being together as a family."
In a second tweet, she added: "We kindly ask everybody to respect that peace."
Charlotte had only made the surprise announcement last month that she was expecting a baby with her long-term partner, Jonathan Powell.
It would've been their first child together. The 31-year-old Charlotte has two children (nine-year-old Ruby and eight-year-old Dexter) with her former partner, Welsh rugby star Gavin Henson.
It's not clear how many months Charlotte had been pregnant, but the UK tabloids are speculating this morning that the due date was probably in November.
Speaking earlier this year about her relationship with Jonny, the singer said: "I’m really happy with my dude. He’s lush, he’s so smart and he really looks after me."