There's a fairly recent paper Vitamin supplementation for preventing miscarriage (2016) that investigates the effect of single vitamin supplements (Vitamin A, Vitamin C). multivitamin supplements, and folic acid supplements on the risk of miscarriages:
The objectives of this review were to determine the effectiveness and safety of any vitamin supplementation, on the risk of spontaneous miscarriage.
Their analysis is based on data from the Cochrane Pregnancy and Childbirth Group database which was organized into "40 randomised controlled trials involving 276,820 women and 278,413 pregnancies".
While they find that the risk of stillbirth is reduced among women who received multivitamin plus iron and folic supplements in comparison to women who received iron and folic supplements alone, there were no clear results with regard to a decrease of the total risk of fetal loss or of miscarriage.
Hence, the authors see the following implications for practice (my emphasis):
There is no evidence to support the prophylactic use of single vitamins to prevent either early or late miscarriages. Supplementing women with multivitamin with or without iron and/or folic acid or vitamin A, may decrease the risk of total fetal loss and stillbirth. Even though there is a positive effect of multivitamin supplementation on pregnancy outcomes, there was insufficient evidence to examine the effect of different combinations of vitamins on miscarriage and miscarriage‐related outcomes. Our findings suggest, that no particular vitamin decreases the risk of miscarriage or stillbirth, but the combination of various vitamins may have the potential to positively influence pregnancy outcomes. This could be due to an overall improvement in maternal nutrition and health status, making women more resistant to infections during pregnancy. However, this needs to be investigated further before recommendations on routine multivitamin supplementation to prevent miscarriage can be given.
So, in sum, it appears that there is some evidence that the consumption of multivitamin supplements has at least some health benefits as the risk of stillbirths appears to decrease. However, at least this study does not evidence in support of the claim from the Mayo Clinic website that a daily multivitamin will reduce the risk of miscarriage.