The 40-year-old revealed the kind gesture on talk show House of Rugby.
"Two years ago, (the Queen) wasn’t feeling very well and so she didn’t go to church."
"We’d obviously been what we’d been through with our pregnancy that we lost, so we did our own little private (service) - just as a three."
Zara and Mike, who married in 2011, have had two miscarriages since their eldest daughter Mia was born in January 2014.
Zara opened up about her first miscarriage in a July interview with the Sunday Times Magazine.
"For me, the worst bit was that we had to tell everyone - everyone knew," she revealed.
"I had to go through having the baby because it was so far along. I then had another miscarriage really early on.
"You need to go through a period where you don't talk about it because it's too raw but, as with everything, time's a great healer."