She and boyfriend Sam Cooper have asked for privacy at a "deeply distressing time," the Fear singer's spokesman said.
The singer previously had a miscarriage when she was dating Chemical Brothers star Ed Simons in 2008.
Lily'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. No further comment will be made."
Lily, 25, was around six months pregnant.
Lily, daughter of comedian and actor Keith Allen, started dating 32-year-old Sam, a builder, last year.
She had begun to effectively wind up her music career to prepare for motherhood but in the summer she performed at the Wireless festival in London.
She set up a vintage clothing business, Lucy In Disguise, with her elder sister, Sarah Owen. Lily has released two best-selling albums - Alright, Still and It's Not Me, It's You - and a number of hit singles including The Fear and Smile.
She announced she was pregnant during the summer after being given the all-clear at her three-month scan.