Our dog died a few months ago. Obviously, that's been a difficult loss on it's own, but it hasn't been the most difficult part.
We really weren't sure how our daughter would respond to it. She was three at the time and had only somewhat recently shown much interest in the dog. I don't think she even noticed for about a week. Eventually, though, she did ask where the dog was and we really struggled to explain that she was gone.
At three, our daughter didn't understand death and we didn't want to scare her, so we tried to just say that our dog was gone, without being too specific. We thought she might accept that in the same way she sometimes accepts that a broken or lost toy is gone.
It became clear though that she had come to really care about her dog. Every so often she would ask where her friend was and say she missed her. She would tell stories about where the dog was, but then ask when she was coming back.
My confession is that I've been completely unequipped emotionally for this. Thank goodness my wife has been able to step up. On one hand, I'm glad our daughter came to care about our dog enough to miss her so much, but I still haven't figured out how to handle it myself.