The 37-year-old star of Jennifer’s Body announced her engagement to the musician, 33, real name Colson Baker, in January 2022.
Fox reflected on her pregnancy loss in her collection of poetry called Pretty Boys Are Poisonous: Poems: A Collection Of F***** Up Fairy Tales, which has been published on Tuesday.
Fox told ABC’s Good Morning America (GMA): “I’d never been through anything like that before in my life, I have three kids so it was very difficult for both of us.
“And it sent us on a very wild journey, together, and separately, together and apart… trying to navigate what does this mean and why does this happen.”
Fox, also known for robot film series Transformers, has three children from a previous relationship with Beverly Hills, 90210 star Brian Austin Green.
During last year’s Billboard Music Awards, Kelly dedicated a performance saying: “This is for our unborn child”, which appeared to have been a pregnancy announcement at the time.
Elsewhere, Fox spoke to GMA about her poetry not being an “expose” or a memoir.
She said the writings were “something inside of me that had to come out because it was going to make me sick”.
“Throughout my life, I have been in at least one physically abusive relationship and several psychologically very abusive relationships,” she said.
“I have only been publicly connected to a few people but I’ve shared energy with, I guess we could say, who were horrific people and also very famous… but no one knows that I was involved with those people.”
She also said that putting art out there is a way of not “suffering on your own” and helping other people.