The country has united in its sympathy for Gordon and Sarah Brown whose 10-day-old daughter died yesterday.

Jennifer Jane died in her parents' arms at 5.20pm after she suffered a brain haemorrhage on Friday, a spokesman for the Royal Infirmary in Edinburgh said.

An hour before the announcement, the Browns had left the hospital by a side entrance.

The baby, who was born seven weeks premature weighing 2lbs 4oz, was transferred there from Forth Park Maternity Hospital in Kirkcaldy, Fife, on Friday. She had earlier been baptised at the Edinburgh hospital.

Tony Blair was given the news during a surprise visit to British troops in Kabul. He spoke of his sadness for his closest political ally.

"I feel so desperately sorry for Gordon and Sarah. I know how much Gordon was looking forward to being a father. I know how proud they both were of Jennifer Jane and I know what wonderful parents they would have been to her. I'm afraid there's very little that anyone can say of comfort at such a time, with such a tragedy, but I hope it is of some comfort to them that I know everyone in our country will be thinking of them at this time and keeping them in their prayers," he said.

The leaders of the two main parties immediately sent messages of sympathy to the couple.

Iain Duncan Smith said: "The loss of a child is the most devastating blow any family can suffer. Our hearts go out to Sarah and Gordon Brown in their grief for baby Jennifer. Our thoughts and prayers are with them and with her," he said.

Lib Dem leader Charles Kennedy hoped the couple would be allowed to grieve in private.

"Our hearts go out to Gordon and Sarah Brown at this very sad time for them. I send them my deepest condolence and we must all respect their privacy."

Nigel Griffiths, the MP for Edinburgh South and a close friend of the chancellor, said: "This is a terrible tragedy and all Gordon and Sarah's friends are deeply upset. They are in our thoughts and prayers."