"Thank you everyone for all of the love," she said in a video on Tuesday. "I don't even know how I'm going to begin to respond to it all. So, I think I'll just have to do it here."
Kimberly then confirmed "we lost our baby boy" and said, "I almost lost my life." She also said she would share "details of what happened in the emergency room" at another time.
James broke the news on Monday's episode of Dancing With the Stars.
"My wife Kimberly and I went through every expectant parent's worst nightmare. We lost the baby," he said at one point. "The little soul that we had expected to welcome into our family took a shortcut to whatever lies beyond. You never know why these things happen. It's what I've been telling my kids. All you know is that it brings you closer together. It breaks you open. It opens up your heart. It deepens your appreciation. It makes you more human."