Candice spoke to the Australian Women's Weekly about the "heartbreaking" loss, which came just one week after her husband's tearful press conference where he apologised to the nation.
The sacked vice-captain was banned for 12 months by Cricket Australia after being accused of masterminding the ball-tampering plot.
Candice Warner told the magazine the miscarriage was "a heartbreaking end to a horror tour".
She described the terrible moment when she realised she was losing her baby.
"I called Dave to the bathroom and told him I was bleeding. We knew I was miscarrying. We held one another and cried," she said.
"The miscarriage was a heartbreaking end to a horror tour. The ordeal from the public humiliations to the ball tampering had taken its toll and, from that moment, we decided nothing will impact our lives like that again."
The former Ironwoman said the couple, parents to daughters Ivy Mae, three, and Indi Rae, two, had been trying for a third child for months and were elated when a pregnancy test taken in Cape Town returned a positive result.
"I was beginning to feel that first stage of being pregnant — the subtle changes to my body were kicking in. We were overwhelmed, knowing another little Warner was on the way," Ms Warner told the Women's Weekly.
"I don't think either of us realised how much we longed for this baby. We had been trying since last July and I did a test when we first got to Cape Town."
David Warner is set to return to cricket in March.
