"It's so horrible. The lovely expectation of a pregnancy, everything going so well, and then to be faced with the awful experience of the baby having died in utero... it is really very tragic," she told AAP.
"It isn't something that people really speak about a lot.
"There's a lot of guilt associated with it and there shouldn't be."
Australia has made progress in reducing sudden infant death, but the stillbirth rate hasn't changed, with Aboriginal and Torres Strait Islander people suffering even higher rates than the general population.
Labor's pledge includes $1.85 million towards an education campaign to encourage pregnant women to fall asleep on their sides, which reduces the risk of stillbirth by nine per cent.
The funding also includes $1.5 million for research focused on the 65 per cent of stillbirths with no known causes, and $1.5 million to create a free app for real-time pregnancy monitoring via wearable technology to capture data for further research.
"Labor is committed to this as a priority for us in the health portfolio," Ms King said.
Prime Minister Scott Morrison said the coalition shares Labor's concern on the issue and will look at its plan.
"This is an issue of tremendous sadness for so many families," Mr Morrison told reporters in Adelaide on Sunday.
"I cannot think of something just more heartbreaking ... we will look at those proposals in a very empathetic way and we will look at the detail."
Labor's announcement comes as a Senate select committee conducts an inquiry into stillbirths, with a report due early next year.