The star found out that she was pregnant just months after giving birth to her fourth child Bertie last year.
Palmer revealed that she discovered that she had lost the baby during a scan in October, but that her family were able to help her through the difficult time.
"It was a shock to be pregnant so soon after having our baby Bertie," she told Hello. "At first I was excited but, deep down, I felt fearful that I wasn't physically strong enough.
"Then, at my nine-week scan in October, they told me I'd lost the baby. We don't know why. But it shook us all.
"We'd got used to the idea of having another one in the family. I even joked that I'd be like the old woman in the shoe who had so many children she didn't know what to do. It was especially sad for the kids."
She added: "My mum recognised the symptoms. She said the light had gone out of my eyes. I've suffered with depression before. I told myself to be brave and to be grateful for what I've got - four amazing children. I know how lucky I am. My family are the light of my life."
Patsy Palmer will make a return to EastEnders later this month as Bianca Butcher after making an abrupt departure last year.
> EastEnders casts shock arrival for Bianca