An impressive body of research has focused on the mechanisms by which the steroid estrogens (E), progestins (P), and glucocorticoids (GC) ensure successful pregnancy. With the advance of non-invasive techniques to measure steroids in urine and feces, steroid hormones are routinely monitored to detect pregnancy in wild mammalian species, but hormone data on fetal loss have been sparse. Here, we examine fecal steroid hormones from five groups of wild yellow baboons (Papio cynocephalus) in the Amboseli basin of Kenya to compare the hormones of successful pregnancies to those ending in fetal loss or stillbirth. Using a combination of longitudinal and cross-sectional data, we analyzed three steroid hormones (E, P, GC) and related metabolites from 5 years of fecal samples across 188 pregnancies. Our results document the course of steroid hormone concentrations across successful baboon pregnancy in the wild and demonstrate that fecal estrogens predicted impending fetal loss starting 2 months before the externally observed loss. By also considering an additional 450 pregnancies for which we did not have hormonal data, we determined that the probability for fetal loss for Amboseli baboons was 13.9%, and that fetal mortality occurred throughout gestation (91 losses occurred in 656 pregnancies; rates were the same for pregnancies with and without hormonal data). These results demonstrate that our longstanding method for early detection of pregnancies based on observation of external indicators closely matches hormonal identification of pregnancy in wild baboons.