The 39-year-old was treated by a doctor in Vancouver last week after suffering complications and lost her unborn child, according to Us Weekly magazine.
Anderson is filming new movie Blonde and Blonder in the Canadian city with Denise Richards--who accidentally injured a pensioner on Wednesday when she threw two photographers' laptops off a hotel balcony.
A source says, "She will keep trying. She really wants another baby with Bob."
It is believed the stress of a hectic filming schedule caused the miscarriage.
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