The former singer was 6 months pregnant when she lost her baby in October last year. Lily also suffered a miscarriage in 2008, when she was 4 months pregnant.
Lily has opened up about her miscarriage in her new 3 part TV series, Lily Allen: Riches to Rags, which starts on Tuesday 15th March on Channel 4. She said: 'It was a really long battle - and I think that kind of thing changes a person.'
The programme follows Lily's venture into fashion with her sister, Sarah, but she also speaks about her miscarriage and reveals that she's suffered from an eating disorder.
However, Lily has actually encouraged her fans not to watch the show. She took to her Twitter page, saying: 'Just a couple of things, some of you may have read about a TV show called 'Riches to Rags' (title not my idea) airing on Tuesday next week.
'We started filming it a year ago and I feel like a completely different person that the one that features in the programme. I'm inclined to ask you not to watch it cause quite frankly I am embarrassed.'
A few weeks after Lily lost her baby, TV presenter Amanda Holden also suffered a miscarriage at 7 months. Amanda had kept her pregnancy a secret until she was 6 months because she'd also had a miscarriage before.
Miscarriages are very distressing and many women can find later pregnancies very stressful if they've suffered one in the past. Read on for more information about second trimester miscarriages and suffering 2 miscarriages in a row.