The 35-year-old shared the tragic news in an Instagram post yesterday just hours after she went for a pregnancy scan.
Hilaria and her husband, Alec Baldwin, 61, have four children together and were expecting a baby girl.
The family’s devastation comes just seven months after Hilaria suffered another miscarriage.
“We are very sad to share that today we learned that our baby passed away at 4 months,” Hilaria wrote on Instagram.
“We also want you to know that even though we are not ok right now, we will be.
“We are so lucky with our 4 healthy babies—and we will never lose sight of this.”
The sad post was shared alongside a video of Hilaria lying in bed being cuddled and comforted by her six-year-old daughter, Carmen after sharing the sad news with her.
“I told Carmen and took this so I could send it to Alec,” she explained to her followers. “I guess this is a good way to share it with you too.
“I told her that this baby isn’t going to come after all...but we will try very hard to give her a little sister another time.
“I’m really devastated right now,” she continued. “I was not expecting this when I went to my scan today. I don’t know what else to say.
“I’m still in shock and don’t have this all quite clear.”
In the heartbreaking video, Hilaria thanks her daughter for saying she was sorry she was sad before the six-year-old comforted her mother with by kissing her on the cheek.
Hilaria had revealed in September that she was expecting her fifth child with husband Alec.
Alongside a recording of a beating heart, she wrote: “The sound of this strong heart makes me so happy - especially because of the loss we experienced in the spring.
“We want to share this news as we are excited and don’t want to hide the pregnancy.
“These first few months are tough with exhaustion and nausea … and I don’t want to have to pretend that I feel ok.”
Back in April the yoga instructor also shared the sad news of her first miscarriage with her followers on Instagram.
Posting an image of herself in her underwear holding her small bump the mum explained in the caption that she was “most likely experiencing a miscarriage”.
“I always promised myself that if I were to get pregnant again, I would share the news with you guys pretty early, even if that means suffering a public loss.”
Days later, she confirmed the sad news after visiting the doctor in order to get a scan - which revealed that her unborn child did not have a heartbeat.
“There was no heartbeat today at my scan...so it's over...but I have some pretty strong and amazing heartbeats right here,” she wrote in a further post.
“I am surrounded by such love and I feel so fortunate. Thank you all for listening, for your support, and for sharing your own personal stories.
“We are stronger together...I hope this conversation continues to grow and that we stick together through both the beautiful and challenging moments in life. Much love and appreciation to all of you.”
The mum believes talking openly about miscarriage can help remove the stigma surrounding the subject.
“In your comments, please be kind,” she ended her emotional post. “I’m feeling a bit fragile and I need support. I’m hoping, that by sharing this, I can contribute to raising awareness about this sensitive topic.”
Alec and Hilaria, who married in 2012, have four children together - Carmen, six, Rafael, four, Leonardo, three, and Romeo, 15 months. Alec also has a 23-year-old daughter, Ireland, with his ex Kim Basinger.