"So thankful for this little one and her daddy... Our doc appointment didn't go well today," Jamie wrote.
"I'm devastated. We've had a 'failed miscarriage.' Our baby formed and there was an amniotic sac, but while the amniotic sac continued to grow the baby stopped at some point."
"I can't thank you all enough for all the love, support, prayers, and encouragement youâ€™ve sent us. You have no idea how much that has helped both @doughehner & I. You guys are the most amazing community of women & men here on instagram & social media and I hope you know how much we appreciate you all. We are so blessed to have such amazing Frans. We love you guys."
"Spending the rest of the day in bed thanking God from the bottom.of.my.heart for our rainbow baby, @henleygracehehner ... Feeling so blessed to have her to hold while my heart aches!"
Jamie and her husband Doug Hehner had only announced the pregnancy late last month on their podcast, Hot Marriage Cool Parents.
Three days later, she had shared her first baby-bump photo on Instagram.
"First baby bump pic," Jamie captioned the December 28 posting. "8 weeks yesterday!! We are so excited to be growing our family!!"
According to Jamie, she is now taking medication to hopefully avoid surgery and help her body expel the fetal tissue naturally.
"We had three options. 1) Wait for my body to miscarry our baby naturally. 2) Go to the hospital and have a D&C. 3) Take medication to help my body miscarry quicker," Jamie explained in her Instagram posting.
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"I really don't want to have to go to the OR and have a D&C for obvious reasons. I'd love for my body to just naturally take the proper course, but since we don't know how long that would take and since there's a small risk for infection I opted to take the medicine and hope and pray it works so I don't have to have a D&C."
Jamie, 32, and Doug, 33, are already parents to a beautiful daughter, Henley Grace, 16 months.
In early September 2018, Jamie announced she had sadly suffered a chemical miscarriage, which is an early pregnancy loss that occurs shortly after implantation, according to Healthline.
The September news came five months after Jamie and Doug revealed they were "officially trying" for Baby No. 2 on Instagram.
Jamie and her husband were unable to have sex for quite some time because the act was painful for Jamie after welcoming Henley into the world in August 2017.
The reality TV stars had an arranged marriage and tied the knot in March 2014. Their wedding was documented on Season 1 of Married at First Sight, and their road to falling in love with each other was a bumpy one.
The couple, however, managed to work through their issues and stay together.
And then in July 2016, the pair announced they had endured a heartbreaking miscarriage with their first child. Jamie and Doug called the baby boy they had lost four months into Jamie's pregnancy Johnathan Edward.