Pregnancy loss is frequent. We aimed to assess the frequency and trends in pregnancy losses according to female age and mode of conception over a 40-year follow-up period. In a national historical prospective cohort study, we followed all Danish women 10-49 years over the 40-year study period 1978-2017. Data on pregnancies and their outcomes were obtained from the National Health Registry, the Medical Birth Registry and the National Fertility Registry. Incidence rates per 100 pregnancies and per 1,000 women-years as well as lifetime risks per 100 women were calculated. Women included in the lifetime analysis were followed from age 12 to age 49. Pregnancy loss included spontaneous abortion, missed abortion and anembryonic pregnancy. In 3 519 455 recorded pregnancies, 337 008, or 9.6%, were diagnosed with a pregnancy loss. The proportion increased from 7.5% in 1978-1979, peaked at 10.7% in 2000 and thereafter decreased to 9.1% in 2015-2017. Pregnancy loss rate in women 10-14 years was 3.9%, increasing gradually with age to 26.9% in pregnant women 45-49 years, a 6.9-fold increase. Loss rates were slightly lower in naturally conceived pregnancies than in assisted pregnancies except for women above 45 years, where the risk of loss was higher in the spontaneously conceived group. Lifetime risk of specific numbers of losses were: 0: 76.9%, 1: 17.9%, 2: 3.9%, 3: 0.87%, and 4+: 0.35%. The proportion of women experiencing pregnancy loss has changed little throughout four decades and is still primarily influenced by female age. More than 75% of pregnant women are never recorded with a pregnancy loss, and <1.5% will experience three or more losses. © 2020 Nordic Federation of Societies of Obstetrics and Gynecology.