"I can confirm that Kelly and Thom [Evans] have very sadly lost their baby. They request that everyone please respects their privacy at this very painful time and there will be no further comment," Brook's spokesman Jonathan Hackford told The Sun.
The Piranha 3D star was five months pregnant with her first child, a girl who was due in August.
Brook, 31, and her rugby-player boyfriend Thom Evans announced her pregnancy on Twitter on March 16, saying: "We are delighted."
The actress was previously engaged to actor Billy Zane.�