The objective of this retrospective study was to investigate the prevalence of pregnancy loss (PL; between 28–110 pregnancy days) and its relationship with factors: farm, year (2015–2018), season, artificial insemination (AI)-rank, parity, AI-type (fixed-time vs. oestrus-AI), previous PL, days in milk (DIM), fixed-time-AI protocol, AI-technician, bull, and semen-type (sexed vs. conventional). Data of 19,437 Holstein cattle AIs from eight Spanish farms were studied. Overall conception rate was 34.3% (6696/19,437) and PL 12.3% (822/6696). The PL was more likely to occur in primiparous (10.8%, odds ratio (OR) = 1.35; p = 0.04) and multiparous (15.3%; OR = 2.02, p < 0.01) than in heifers (PL = 6.9%, reference). Pregnancies achieved with AI after observed oestrus and natural breedings were associated with less PL than pregnancies after fixed-time-AI (12.7 vs. 11.9%; OR = 0.12, p = 0.01). First AIs related to higher PL than 2nd AIs (PL = 13.8% vs. 11.2; OR = 0.73, p < 0.01). The factors season, fixed-time-AI protocol, DIM, bull, AI-technician, or type of semen were not significantly associated with PL. Therefore, farmers and consultants should adapt their preventive strategies relating to PL, particularly, to the parity of the cattle.