"We lost our unborn child about six weeks ago," they told People in a statement. "We would like to thank all of those who expressed kindness and concern but we needed a little time to heal, time to find some solace before we publicly acknowledged our loss."
Grammer, 55, and Walsh, 29, announced she was expecting in August. This was the first child for the couple and the fifth for the Frasier star. His third wife, Camille Donatacci, filed for divorce in July after 13 years of marriage.