The loss of innocence refers to Jem's emergence into a mature, adult understanding of the truths of the world as he loses his naive and childlike views.
This is a process that happens over time, but if there is a singular event that completes this process, it is definitely the conviction of Tom Robinson in spite of substantial and convincing evidence that he could not have possibly committed the crimes he's accused of. Jem believes that Atticus has represented Tom well, and he thus initially believes that Tom will be declared innocent. When Atticus shows that Bob Ewell is left-handed and could have inflicted Mayella's injuries, Jem is certain this is the convincing evidence the jury needs:
Jem seemed to be having a quiet fit. He was pounding the balcony rail softly, and once he whispered, “We’ve got him.”
Yet even Scout, who is younger, believes that Jem is "counting his chickens" in this moment. When the trial concludes and the verdict is announced, Jem is utterly devastated by his community and the justice system, rethinking everything he once believed to be true.
It was Jem’s turn to cry. His face was streaked with angry tears as we made our way through the cheerful crowd. “It ain’t right,” he muttered, all the way to the corner of the square where we found Atticus waiting.
From this point forward, Jem is changed. He no longer believes that good always wins or that justice is always served. He is broken, wondering how his community could have let Tom down so completely and wondering how to fix the justice system which was supposed to protect him and all other innocent people.
These are not the innocent thoughts of a child. They show a new and deeper evaluation of the world around him, and Jem moves into the world of young adulthood from this point forward.