Adlington, who won the 400 and 800 metres freestyle titles at the 2008 Beijing Olympics, shared the news in an Instagram post on Saturday with a photo of her lying in a hospital bed with a cup of tea and an IV line in the back of her hand.
"On Tuesday me and Andy (her husband) went to hospital for our 12-week scan only to discover we've had a miscarriage which resulted in emergency surgery," Adlington said.
"I managed to leave hospital Thursday only to be readmitted Friday. After a day of treating sepsis, a kidney infection and a fever I'm slowly on the mend. Long way to go but I'm in the right place.
"It's such a devastating time but important in times like these we remember we aren't alone and have so much support."
Adlington has two children - a seven-year-old daughter from her previous marriage to fellow swimmer Harry Needs and a one-year-old son with husband Andy Parsons.