The 37-year-old spoke to The Sunday Times about the loss of her unborn child, saying it happened 'really early on' in the pregnancy.
'I think you need to go through a period where you don’t talk about it because it’s too raw,' she said.
'But, as with everything, time’s a great healer.'
Zara - the daughter of Princess Anne, and granddaughter of Queen Elizabeth II, is married to former rugby legend Mike Tindall.
She says the most difficult part about the miscarriage for them was telling everyone the news.
'We had to tell everyone, and it's like, everyone knows - that's the hardest bit,' she explained.
'That's why I think a lot of people don't talk about it because [a miscarriage] can happen early enough or it's only your group of friends and your family that know.'
Zara gave birth to her second daughter, Luna, in June. She and Mike are also parents to their four-year-old daughter, Mia.