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Pregnancy is most often a joyful experience and a woman’s plans and dreams are shattered when the death of an unborn or newborn infant occurs. Studies have reported that these women experience psychological problems such as grief, depression, and anxiety which can be minimized by counselling. Hence, this study was undertaken to assess the effect of bereavement counseling on women with psychological problems associated with pregnancy, focusing on Roy’s adaptation theory. An experimental design, with pre-test and post-test, was used with randomly allocated experimental and control groups. Women were randomly allocated to the experimental and control groups with 45 women in each group. As pre assessment, grief, depression, and anxiety were measured using the Perinatal Bereavement Grief Scale and the Hamilton Depression and Hamilton Anxiety Scale, respectively. Women in the experimental group were given the counselling intervention and those in the control group were given the standard care, after pre-assessment. Descriptive and inferential statistics were used to analyze the data. The reduction in the level of grief, depression, and anxiety were significantly better in the experimental group as compared to the control group (all P values