The couple, who have been together for four years, revealed they began the IVF process a year ago.
Talking to OK! Magazine, McFadden said Daniella fell pregnant on their first try, but they sadly lost the baby.
"We were devastated," McFadden said.
Parkinson said it was five weeks into the pregnancy when she realised something wasn't right.
"I had a backache and some tiredness," she explained. "Then I started bleeding and the symptoms disappeared."
She had a blood test later at the hospital that confirmed they'd lost the baby.
McFadden, who has two daughters from his previous marriage to Kerry Katona, said breaking the news to 18-year-old Molly and 17-year-old Lily-Sue was heartbreaking.
"That broke us a bit," he admitted.
The former fiancé of Delta Goodrem said he'd even stopped taking gigs overseas that were around the due date of the baby.
"As far as we were concerned, we were out of danger," he said.
The couple tried another round of IVF after the miscarriage but were unsuccessful, and while they're still hopeful, they did reveal they're open to using a surrogate or adopting if IVF doesn't work out for them.
"I wouldn't feel any less of a woman if someone else could help the baby grow. It would still be our baby," Parkinson said.
"As much as we want kids, it's not the be all and end all. We still have Molly and Lilly in our lives."