First, we see the loss of innocence when the trial of Tom Robinson starts. When Scout and Jem are at Calpurnia's church, they have to deal with the issue of rape. Scout asks Calpurnia about this. Calpurnia dodges the question and ask her to talk with Atticus, which Atticus does. The very fact that Scout and Jem have to deal with the topic shows that their childhood is coming to an end.
Second, when Atticus loses the trial, it is a shock to Scout and Jem. They can now see racism eye to eye. It is real and powerful. Moreover, it has ruined a good man's life.
Finally, when Bob Ewell in his anger tried to kill Scout and Jem, they realized the extent of human depravity. Innocence is now ended.
I agree with the previous answer, and I would like to add one thing to it as well. The loss of innocence no doubt has a negative connotation, but at the end of the novel in the last paragraph, Scout states... (page number will vary depending on what copy of the book you have)
“Atticus was right. One time he said you never really know a man until you stand in his shoes and walk around in them. Just standing on the Radley porch was enough.”
This shows that although she has lost innocence, it has allowed her to open her eyes to the real world and what goes on in Maycomb. This is, after all, what Atticus wanted her to see the entire time.