Their daughter, a fourth child for the couple, was delivered stillborn at the weekend.
The Take That singer has now taken to Twitter for the first time since the tragedy to thank the public for their kind words.
"Your kind words and lovely messages are overwhelming. thank you," he wrote.
In a statement released on Monday, Gary announced the devastating news.
"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."
The couple have three children, Daniel, Emily and Daisy. They have been married since 2000.