And in an exclusive interview with The Sun on Sunday, the 28-year-old singer revealed that she almost died from blood poisoning.
Lily, who was expecting a son with husband Sam Cooper, said: "It was horrendous and something I would not wish on my worst enemy.
"It's something that I still haven't dealt with. I never will get over it. I have dealt with it, you know, as being at one with it.
"But it's not something that you get over. I held my child and it was really horrific and painful - one of the hardest things that can happen to a person.
"I was overwhelmed by what an incredibly unlucky thing it was to happen. But I had this man standing by my side, who I knew was going to be with me for the rest of my life.
"I nearly died. But I was numb and I didn't care. I'd just lost my baby and that is a reflection of how numb I was."
Lily had an operation which was a success and she and Sam, who married in June 2011, are now proud parents of daughters Ethel, two and Marnie, one.
She told The Sun on Sunday she still thinks about her son every single day and feels he is part of her family.
Lily added: "I just think that he's a part of my eldest really. If he hadn't died, it wouldn't have physically been possible for our eldest to be alive because I got pregnant with her so quickly.
"We've got a little stone in our garden with his name on. And lots of different things that I do, rituals, I have him in my mind.
"My husband and I shared this horrible thing together but it kind of brought us closer.
"I was so lucky to have him there because there are so many women who go through it on their own and have to deal with it with no support.
"And statistically, which is scary, 70 per cent of couples that go through it don't make it through.
"But just before the baby died, when it wasn't looking great, Sam held my hand and said, 'Don't worry. I'll be here forever and will look after you. It's going to be fine.'"
But motherhood was hard for Lily after Ethel was born in November 2011.
She said: "My oldest kid was quite sick. She had two operations in the first two months. And then she was tube-fed until she was about seven months old.
"And as her mum and especially after what had happened to me in the past, I couldn't take my eyes off her. It was mentally exhausting.
"Then she couldn't gain weight. I just felt exhausted. My husband said. 'You just need to get out of the house for a few hours'.
"I don't really know anything else so I started writing songs. It wasn't like, 'Right, I want to go back to being a pop star and make a new album'.
"It was just about claiming back a bit of my life and reconnecting myself really."
Lily - who suffered a miscarriage with Chemical Brothers' Ed Simons in 2008 - has spoken to highlight what she and a lot of other women have gone through.
Sands, the UK charity providing support for bereaved parents and their families, reports that research is needed as around 4,200 babies are stillborn every year in the UK - 11 a day.
Its website says: "It is often assumed that a baby who has died was born too soon or too sick to live. In fact only around ten per cent of stillbirths are caused by a fatal congenital abnormality."
More on Parentdish: Stillbirth: unexplained and devastating
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