The director, 40, and the singer, 50, who divorced in November 2008, are parents to Rocco, 8, and David Banda, 3.
'Madonna is a fantastic and loving mother who cares deeply about her own children, and children who may need additional help and support,' reads a statement.
'I fully supported her decision to apply for this adoption, and I am saddened that her application has been rejected.'
Madonna's lawyers have confirmed she will appeal the ruling.
Madge, who is also mum to Lourdes, 12, with ex Carlos Leon.
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