The mother-of-two shared the heartbreaking news on Instagram, captioning an image gallery of the family: 'I was devastated.'
'Two and a half weeks went by with me battling my heart and brain about what was happening in my body, wondering why this wouldn't just be over.'
The couple announced they were expecting their third child on November 4, and discovered they'd lost the baby on November 23.
'Initially, I felt complete despair. And then I saw the baby. Fully intact,' her post continued. 'Tiny, perfect head and face and arms and legs.'
'This was a perfectly well thought-out, precious life formed in my belly, and it most certainly went straight to the arms of Jesus.'
Ellie goes on the acknowledge all the other women who have suffered from a loss of a child.
'I hope you know you aren't alone and I hope you feel God wrap his arms around you when you feel the depths of sorrow and loss,' she wrote.
Jason and Ellie already share two children, Dash, 5, and Lucy, 2.
Anyone affected by the death of a baby can call the Sands National Hotline on 1300 072 637.