"It was sad, but it was in the early stages of growth and it's not uncommon for young mammals to lose their first offsprings with miscarriages," zoo president Chuck Brady said.
Ya Ya, a 6-year-old panda on loan from China was artificially inseminated in January, and the zoo announced in May that she was pregnant.
The miscarriage was caused by Ya Ya's low level of the hormone progesterone, and she was not harmed by the pregnancy, Brady said.
The fetal tissue in Ya Ya's uterus had not yet begun to differentiate into a form recognizable as a baby panda. The gestational sac in which the fetal cells had begun to grow will be expelled natural.
Ya Ya, whose name means "beautiful little girl" in Chinese, can come and go from her enclosed quarters and will be back on display for zoo visitors at her choosing.
Zoo officials turned to artificial insemination after Ya Ya and her male companion, 8-year-old Le Le, failed to breed naturally.
Another attempt at mating will be tried in January or February, and artificial insemination will follow once again if that fails, Brady said.
The two pandas were brought to the Memphis Zoo in 2003 and are housed in a $16- million (euro12-million) "China Pavilion" built for them.
Three other U.S. zoos - San Diego, Washington and Atlanta - have giant pandas. The most recent panda cub born in the U.S. is Mei Lan, who was born in September in Atlanta.
Pandas are notoriously poor breeders - one reason their species is endangered - and females have only three days a year in which they can conceive.