Devorah Baum is having a baby; her husband, Josh Appignanesi, is making a film about her having a baby. Or to be more precise, Josh’s film is about what he feels about the pregnancy: because it’s hard work, this pregnancy lark, for Josh. While Devorah is hoping against hope that, after three years of fertility treatment, the couple really are going to become parents, Josh is doing the really difficult bit of pregnancy: he’s having a full-on, no-holds-barred existential crisis. On camera.

How is it for a man in the 21st century when his partner is pregnant? History has changed everything: Stone Age Josh would have gone out hunter-gathering, prepared a safe nest, fought off intruders and brought back food. Modern-day Josh is sitting in his kitchen while his wife and her girlfriends shriek with delight at news of the conception; and then the further bit of news, which is that there are in fact two heartbeats, not one. He is looking very, very scared. What does pregnancy mean for a man in the 21st century? Josh isn’t the main earner. Devorah is the one with a job; Josh is the freelance, and right now he’s the freelance with no work. These were, in fact, the circumstances that led to the project. “Josh thought he was going to make a romcom in Italy,” says Devorah, when we meet at their house in west London. “And he said, if it falls through I’ll just have to make a film about us. And suddenly it did fall through, and there he was making this film about us.”

The result is The New Man – executive produced by David Baddiel whose 2010 film Infidel Josh directed – which opens in cinemas from 21 November. In the film, Devorah humours Josh, telling her friends she’s agreed to be filmed because it’s good for her husband, that making this film is giving him the space to explore his worries and anxieties about impending parenthood. Josh canvasses his male friends who are already fathers, naming those deep-seated concerns that all dads-to-be have, but few articulate (and certainly not on film). “Did you feel you were being usurped? Or fear being usurped … that you were redundant, you didn’t have a role? That’s it: you gave the sperm, now Mummy has her little boy? Oedipal complex?”

His friends are mumbling something that sounds like “No, no”; but Josh has opened his floodgates, and the fears keep hurtling out. “There’s not [going to be] enough time for me, there’s not [going to be] enough love. I’m someone who needs endless affection and attention and then suddenly there’s this kid who needs it more than I do …”

Through most of the first half of the film, Josh looks like he’s stumbled into the wrong movie. Unkempt, ramshackle, sitting around in his boxer shorts and socks, alternately pouring out his angst and ostentatiously internalising it, his grim distraction is a constant foil to the glowing Devorah’s keeping-a-lid-on-it excitement as the weeks go by, and it seems more and more likely that the couple really are going to have two babies.

And then, everything changes.

It’s the 20-week scan, but true to his complex form, Josh has decided to absent himself and have a holiday in Spain with a friend. When he talked to Devorah initially she was fine with it; her mum has gone along to the hospital with her, and they’re going to call him as soon as it’s all over and they know the sexes of the babies, and that everything is OK. So we have Josh sitting beside an idyllic harbour in his shorts, and we have Devorah’s mum phoning from the clinic with updates on how things are going. And even before the bad news, we have the sense that the increasingly agitated Josh has realised that this really isn’t OK, that he should be with Devorah, that he’s let her down by being away on holiday when she’s negotiating such a big hurdle in the pregnancy on her own. “Fuck,” he says, as the sun glistens on the water behind him. “It’s stressful.”

And that is more or less the last moment in the film when it’s all about Josh: because while he’s on a Spanish balcony, Devorah is in a London hospital being told that one of their twin boys has a genetic abnormality and will not survive. Worse, she must carry his body through to delivery, so her womb will be a coffin as well as an incubator. And, even worse still, the dead twin may precipitate labour, in which case the unaffected twin may not make it, either.

Josh doesn’t say “fuck” so much after that, but now he’d be entirely entitled to say that, and more often. The earth has shifted and his self-absorbed philosophical crisis has become a tragic, practical crisis in real time. And dreadful though it is, the appalling turn of events has given him his role: he must support Devorah, and he must reassure her, and keep on reassuring her, that all will be well. When a friend jokes, “How’s your sex life?”, Josh dismisses the question as no longer of real relevance. “No sex,” he says quietly, and without any angst at all.

At this point, Josh explains when we meet, the film went from being an arty cri de coeur to being his prop as his world slowly crumbled around him. “I wasn’t coping,” he admits. “Sometimes all I could do was turn the camera on.” The movie kept him going, and he helped Devorah keep going. “We went from doing something that’s so normal and ordinary – having a baby – to something that’s really unusual and far less common, which is losing a baby …” And the circumstances of the loss were particularly confusing. “There was this clash of life narratives,” says Josh. “Birth is supposed to be this wonderful thing, a miracle, a time for celebration. But for us it was also about grief and loss. It was weird. We didn’t know which way to go.”

The Josh of today seems more grown up than the Josh of the film. He’s still running his fingers through his curls, but the little-boy-lost look has gone. Because he’s now a dad; a father of two. Manny, the twin who survived the pregnancy, is two and a half, and a surprise natural pregnancy followed quickly, so he has a seven-month-old brother, Isaiah. But it’s not only the hurly-burly of family life that’s changed Josh: something else altered him, something awful and deeply poignant, something we see at close quarters in his film. Because while Devorah and Manny were still in hospital, recovering from the birth, Josh had to take the tiny coffin containing Manny’s twin, Ben, to a graveyard. He is seen beside the undertaker, heaping soil on to the small box, doing the most unnatural thing any of us is ever called to do on this earth: saying goodbye to a child who has predeceased us.

At screenings of the film they attend, Devorah and Josh always leave halfway through, before the section about the 20-week scan and loss of Ben. “Why would you put yourself through all that?” asks Devorah. “It brings it all back – what’s the point?” Ben will always be in their hearts, but life with Manny and Isaiah is to the fore in their lives now.

But what about all Josh’s fears? There are two new men in Devorah’s life now, after all – so how is he coping? Well, he says, no question: he was right all along. “There’s a lot less time for me. Fewer cuddles, less sex. All the things I worried about in the film are true. But what I couldn’t have predicted was how it feels to have children. The love affair between me and my sons is overwhelming – and that’s the part I couldn’t have anticipated. That’s the bit I couldn’t have known.”

• The New Man is released on 21 November