Britney Spears says she has lost her "miracle baby early in the pregnancy".
Posting on Instagram, the star said she and fiance Sam Asghari "perhaps" should have waited to announce she was expecting until they were "further along".
They shared the news of the miscarriage "with our deepest sadness".
"Our love for each other is our strength," the couple said.
It is a "devastating time for any parent", they added.
"We will continue trying to expand our beautiful family. We are grateful for all of your support."
Commenting on their post, Asghari said: "We will have a miracle soon."
Spears appeared to reveal she was pregnant last month, saying she had taken a test after Asghari teased her about being "food pregnant".
Earlier this week, Asghari appeared to have ended speculation that they are already married – telling fans that a date had been set for the big day.
Recent events in Spears’ personal life followed the freedom she gained after 13 years of living under a conservatorship.
The controversial legal agreement that controlled her personal and financial affairs was finally ended in November following a court ruling.
During those proceedings, the 40-year-old singer described how the conservatorship – run by, among others, her father Jamie Spears – had affected not only her finances but also her choice to get married and have another child.
She already has two children, Sean and Jayden, who she shares with ex-husband Kevin Federline.