A spokesperson for the 22-year-old "Smile" songbird confirmed the devastating news Friday.
"She and her partner Ed Simons will be making no further comment," the rep said. "And we ask that their privacy be respected during this difficult time."
The story was first reported in London's Sun tabloid, which claimed the couple "are in a state of shock" after learning of the miscarriage following their return from holiday.
Just last month, Allen announced that she and the 37-year-old Simons, one half of the Chemical Brothers, were expecting their first child.
"However, as the pregnancy is at a very, very early stage," her rep said at the time, "the couple ask that you respect their privacy, as the health of Lily and their child is their paramount concern."
Allen, a darling of the British tabs, was diagnosed with a heart murmur over the summer, prompting a lifestyle reboot that included dieting and an attempt to quit smoking.
She had been working on the follow-up to her hugely popular debut, Alright, Still, which has earned a Grammy nomination for Best Alternative Album. The new album is slated to be released later this year.
Allen is also scheduled to front a chat show for BBC Three, Lily Allen and Friends, which will revolve around topics of the day as spun by the singer and her myriad MySpace pals.
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