The Giuliana & Bill stars - who had previously spoken of their desire to start a family - publicly spoke about their loss for the first time on an episode of The View which is scheduled to air today.
"This is the first time we are talking about this," said Giuliana. "No-one knew we were pregnant; it was really scary. About eight weeks in we went for a routine ultrasound and the nurse looked really concerned.
"She brought in the doctor and he looked concerned. He said, 'Go wait for me in my office, I want to review this a little more'. We knew something was wrong and I broke down. I couldn't believe it. Our pregnancy was going beautifully, we had told our family and confided in them and we were thrilled."
Bill added: "You could see in the doctor's eyes that he had news that he didn't want to tell us that he had to."
Back in February, E! host Giuliana and businessman Bill - who married in 2007 - had revealed that they were undergoing IVF treatment in a bid to fall pregnant after trying to have a baby for over a year.
Giuliana thanked fans for their support during her hosting duties on last night's E! News and said that she had been sent many letters and messages from women who had gone through the same experience.