The British performer suffered a miscarriage last week after returning home from a romantic break in the Maldives with boyfriend Ed. She was four months pregnant.
Lily, 22, and Ed, 37, attempted to distract themselves with a shopping trip around London's Notting Hill.
It was the first time Lily had been seen since news of her loss came to light.
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Tender moment: Ed Simons gives Lily a protective hug while shopping for a new car in London on Monday
Lily and musician boyfriend Ed Simons from band The Chemical Brothers went shopping in London together as they emerged following the heartbreaking news that Lily had lost their unborn child
During the shopping trip, the couple spent several hundred pounds at upmarket French store Aimé, which sells a range of Parisien fashion and homewares.
They then drove their BMW 1 series to a car showroom at London's Park Lane BMW Centre.
Retail therapy: The singer reportedly paid more than £35,000 on a BMW Convertible 325i M-Sport Auto
She reportedly paid £35,955 on a MBW Convertible 325i M-Sport Auto.
Despite the tragedy, Lily plans to press on plans to start filming the pilot for her new TV show.
She will record BBC3's Lily Allen And Friends this week, and the show will be screened next month.
The audience will be composed of 'friends', and also celebrity friends and new bands from her page on social networking website MySpace.
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Support: Lily and Ed put on a brave face during a shopping trip at French store Aimé
A TV insider said: "She's incredibly low at the moment, but doesn't want to let her fans down.
"It will be a very upbeat night so in a way it's the tonic she needs."
Allen and Simons met in September after a Chemical Brothers gig in Trafalgar Square and announced they were expecting a baby in December.
Allen's second album is due out later this year.
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