The pop titan said that the little girl was delivered stillborn after an eight and a half month pregnancy.
His statement said: "Dawn and I are devastated to announce that we've lost our baby.
"Poppy Barlow was delivered stillborn on August 4th in London. Our focus now is giving her a beautiful funeral and loving our three children with all our hearts. We’d ask at this painful time that our privacy be respected."
It was in February this year that Gary, 41, told his 1.3 million Twitter followers: "My wife and I are expecting our 4th child" – and cheekily added the hash tag 'Anotherowngoal'.
Responding to their messages of congratulations the Take That singer wrote: "What a lovely bunch you are.
"Thank you for all your kind messages. We are a very excited family."
Now, of course, the excitement has turned to sadness. The couple, who have been married for 12 years, are a rock solid unit, having weathered tough times before.
Dawn, 42, who is a dancer, was there for her husband during several difficult years when Take That was out of the limelight and he struggled with depression.
Now, the star will be focusing all his attention on looking after her and their three children Daniel, 11, and daughters Emily, nine, and Daisy, three.
He and the guys had been widely expected to appear at the Olympics closing ceremony – though no line up had been officially confirmed.