PurposeThe aim of this paper is to develop a preliminary theory that explores in depth into understanding the experiences of women who have suffered a spontaneous perinatal loss during any trimester of their pregnancy regarding their emotional response to this loss.DesignA grounded theory approach was used, and 25 in‐depth interviews were conducted with Spanish women who suffered a spontaneous perinatal loss.MethodsTheoretical sampling and constant comparative analysis were used to reach theoretical saturation. EQUATOR guidelines were followed, using the COREQ checklist.ResultsThe “Perinatal loss, a devastating cyclone,” a situation‐specific nursing theory, explains the process that a woman experiences when she loses her baby at any stage of pregnancy, drawing an analogy with tropical cyclones as natural disasters that destroy everything in their path. This situation‐specific theory includes three dimensions, explaining the phases identified in the perinatal loss process (phase prior to impact [before the perinatal loss], impact phase [diagnostic moment], emergency phase [hospital care], relief or honeymoon phase [return home], disillusionment or stock‐taking phase [after the first postloss days at home], reconstruction and recovery phase [grief construction process] and consequences [with an eye to the future]). Three intervention areas were described around the perinatal loss process: “rescue area” (partner, grandparents, and siblings of the deceased baby), “relief area” (healthcare professionals), and “base camp” (society).ConclusionThe situation‐specific nursing theory “Perinatal loss, a devastating cyclone” is the final product of a grounded theory study that provided an in‐depth analysis of women's experiences when they suffer a spontaneous perinatal loss at any point in their pregnancy.Clinical RelevanceThe situation‐specific theory “Perinatal loss, a devastating cyclone” with the seven identified phases and the three areas of intervention could be used as a framework for healthcare professionals in their clinical practice as a guide to support women in this disfranchised grief.