The Duchess of Sussex has revealed that she had a miscarriage in July.
In an article for The New York Times, Meghan wrote: "I knew, as I clutched my firstborn child, that I was losing my second."
She describes how she "felt a sharp cramp" after changing her son Archie's diaper (nappy).
The royal said she went to hospital with Prince Harry where she watched her "husband's heart break" as she held his hand.
Meghan wrote: "It was a July morning that began as ordinarily as any other day: Make breakfast. Feed the dogs. Take vitamins. Find that missing sock. Pick up the rogue crayon that rolled under the table. Throw my hair in a ponytail before getting my son from his crib.
"After changing his diaper, I felt a sharp cramp. I dropped to the floor with him in my arms, humming a lullaby to keep us both calm, the cheerful tune a stark contrast to my sense that something was not right.
"I knew, as I clutched my firstborn child, that I was losing my second.
She describes losing a baby as "carrying an almost unbearable grief".
"In the pain of our loss, my husband and I discovered that in a room of 100 women, 10 to 20 of them will have suffered from miscarriage.
"Yet despite the staggering commonality of this pain, the conversation remains taboo, riddled with (unwarranted) shame, and perpetuating a cycle of solitary mourning," she said.
The article is entitled 'The Losses We Share' and the duchess goes on to talk about the importance of asking people if they are OK.
"Sitting in a hospital bed, watching my husband's heart break as he tried to hold the shattered pieces of mine, I realised that the only way to begin to heal is to first ask, 'Are you OK?', she writes.
"Are we?" she asks. "This year has brought so many of us to our breaking points. Loss and pain have plagued every one of us in 2020, in moments both fraught and debilitating."
Mills said it is a "heartbreaking read".
She said: "Of course, ever since they had their first child Archie there has been anticipation about whether they would have a second child."
Prince Harry and Meghan now live in California where they are starting their new life, away from royal duties.
Other royal women have experienced the loss of an unborn baby, with the Queen's granddaughter Zara Tindall suffering two miscarriages before having her second child.
The Countess of Wessex lost her first baby in December 2001 when she was airlifted to hospital after suffering a potentially life-threatening ectopic pregnancy.
An estimated one in four pregnancies ends in a miscarriage according to the charity Tommy's, which funds research into miscarriages, stillbirths and premature births, with most women losing their babies during the first 12 weeks of pregnancy.