The former glamour model lifted the lid on her ordeal in an exclusive interview with Britain's Got Talent judge Piers Morgan, which airs on ITV1 tonight.
Price told the ex-newspaper editor that she fell pregnant during a trip to Los Angeles but faced heartbreak after having a scan back home in the UK.
Discussing her US trip, the 30-year-old revealed: "Even though [Pete and I] were still bickering and I shouldn't have gone to America, we were happy because it's a baby, it's an amazing thing when you have a baby."
The star later visited a London doctor in April and was told that her unborn child's heartbeat could not be found. She was then instructed to return for further tests days later.
She added: "I went in thinking, 'He's going to be great, he's going to see a heartbeat'. And it was on the screen and you know they poke the thing around, he said, 'No it's, it's died, it's gone'."
Price had a termination shortly afterwards before concentrating on her commitment to run in the London Marathon on April 26. Her split from husband Peter was announced on May 10.
Responding to the star's interview, a spokeswoman for Andre commented: "It was Peter's child as well and Peter is devastated and deeply disappointed that Kate has chosen to speak out about this and their marriage. It is a private matter."
Katie Price Exclusive - With Piers Morgan airs on ITV1 tonight at 9pm.