Hilaria Baldwin, 35, had been four months pregnant with the couple's fifth child.
"We also want you to know that even though we are not ok right now, we will be," the mom and yoga instructor wrote on Instagram. "We are so lucky with our 4 healthy babies—and we will never lose sight of this."
Baldwin and her husband -- already parents to Carmen, 6, Rafael, 5, Leonardo, 3, and Romeo, 1 -- had been expecting a girl. Alec Baldwin also has a 23-year-old daughter, Ireland, from his marriage to actress Kim Basinger.
Baldwin announced her most recent pregnancy in September, early on in her first trimester, because she didn't "want to hide the pregnancy," she wrote at the time in an Instagram post where she also shared a video of the baby's heartbeat.
A few months earlier, in April, Baldwin announced on social media that she'd experienced a miscarriage and had undergone a dilation and curettage procedure. A D&C is the procedure in which tissue is removed from the uterus, according to the Mayo Clinic.
Miscarriage -- defined as the loss of a pregnancy in any trimester -- is a common occurrence but remains a taboo topic in our culture, a reality Baldwin has said she tried to address by revealing her pregnancies earlier on.
“It was so liberating to talk about my miscarriage because it’s something that we don’t talk about and it’s something that some of us need to talk about,” Baldwin said last month on "Strahan, Sara & Keke." “Now I’m pregnant again and I wanted to tell people right away.”
For women who know they're pregnant, about 10 to 20 out of 100 will experience a first trimester loss, according to the Mayo Clinic. That number is likely considerably higher, as many women miscarry before they realize that they're expecting. Additionally, one recent study indicated that 43% of women who had at least one successful birth reported having one or more first trimester loss.
Stillbirth, the demise of a pregnancy after 20 weeks, affects about 1 in 100 pregnancies each year in the United States, according to the Centers for Disease Control and Prevention. This translates to about 1% of all pregnancies and about 24,000 babies.
Baldwin found out about the loss of her child at a doctor's appointment Monday. She wrote that she was "devastated" and "in shock" but hoped to "try very hard" for a second daughter in the future.
The "Mom Brain" podcast co-host gave her followers an update on Tuesday, sharing a short video of her four kids and writing about them, "This is beauty. And I see it."
"Today opened and it was not a nightmare ... just a sad reality," she shared. "Thank you for all of your kind and sympathetic words."
"I didn't know so many tears existed in the body," Baldwin continued. "I'm trying to be present for my grief but understand that life goes on and there is still beauty, even in darkness."
ABC News' Lesley Messer contributed to this report.