The 28-year-old singer - who has two children, 23-month-old Ethel and 10-month-old Marnie with husband Sam Cooper - lost her baby when she was six months pregnant after she became ill with a viral infection a few years ago and found it difficult to cope with people's comments during the sad time.
She told The Observer magazine: "I couldn't get my head round how people could be so horrible. But I learned pretty quickly that I was very vulnerable, and this [the internet] wasn't the place to spend my time. I still think about it 25 times a day."
Lily was grateful to have the support of her spouse during the tragic period and realised how lucky she was for all the things she does have in her life.
She said: "Before ... this, before what happened to Sam and I happened, I was quite vocal. I complained about a lot of things. I feel incredibly lucky that I was able to grieve with someone I loved.
"There are women who have to deal with this on their own, so even though it was tragic, I knew where I was in the world and the people who were important to me and what mattered, and what didn't.
"The thing I took away from this was that I couldn't believe I'd ever complained about anything ever before in my life."
The star is making her return to the music industry after a short career break and quipped: "But, I'm almost ready to complain again now."