O'Day first revealed her pregnancy in January, when she placed her hand on her baby bump on the red carpet.
Aubrey O'Day has suffered a miscarriage.
In a statement to E! News, the former Danity Kane singer said she was "beyond heartbroken" to share the news, adding that while it wasn't her first time being pregnant, it was "the first time I was mentally healthy and in a physically prepared place to care for another life."
Alluding to her loss Monday on Instagram as well, she wrote, "I wouldn't change anything. I think that it's important to let things happen, and stay 'happened.'"
"People change so you can learn to let go. Things go wrong so that you appreciate them when they are right ... and sometimes things you want most fall apart so that better things can fall together," she added. "Everything happens for a reason, I'll always love u my lil one. 🤍"
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The singer, 39, first revealed her pregnancy in January, after she was seen with her hand on her baby bump on the red carpet.
Following her miscarriage, O'Day confessed she did have moments where she "blamed" herself for it -- but added, "luckily I realized there isn't only one seat at the table."
She still believes that "when my baby is ready, he/she will come" and "forever be my grateful miracle" -- and said she'd be opening up her DMs on Instagram to any women who have also "experienced this grief" and need someone to talk to.
O'Day never revealed who she was expecting a child with, but did tell The Sun back in January she had "someone special in my life."