The Danish eighth seed, watched by golfing superstar boyfriend Rory McIlroy, was beaten by World No96 Irina-Camelia Begu 6-2, 6-2.
Wozniacki came into the match with her knee heavily strapped, having picked up an injury at New Haven last week, and she needed more treatment yesterday before slipping to defeat.
"I tried and didn't succeed in playing well. There were too many errors.
"It's frustrating but I will have to move on," said Wozniacki, who made the semifinals in the past two years.
Andy Roddick, America's last men's major champion when he captured the 2003 US Open title, eased past compatriot and qualifier Rhyne Williams, the world No289.
His comfortable 6-3, 6-4, 6-4 win was a gentle way to start his 13th successive US Open appearance.
Roddick will face Bernard Tomic for a place in the last 32.
Fellow US veteran Venus Williams, the 2000 and 2001 winner, also won an all-American match-up, beating wildcard Bethanie Mattek-Sands 6-3, 6-1.
Williams, playing her 14th consecutive US Open, missed nine months of action with the fatigue-causing Sjogren's syndrome and came into the tournament ranked at 46.
The 32-year-old next faces German sixth seed Angelique Kerber, who knocked her out of the Olympics.
Three-time women's champion and Olympic Games gold medallist Serena Williams, last year's runner-up, defeated American compatriot Coco Vandeweghe 6-1, 6-1 in the late match on Arthur Ashe.
Wimbledon runner-up Agnieszka Radwanska and former world No1 Ana Ivanovic also breezed into the second round.
In other men's play, French fifth seed Jo-Wilfried Tsonga and sixth seed Tomas Berdych advanced with three-set wins.
Canadian 15th seed Milos Ranoic survived a gruelling five-setter to beat Santiago Giraldo 6-3, 4-6, 3-6, 6-4, 6-4, firing 30 aces in the process.
On a bad day for Argentina, 10th seed Juan Monaco surrendered a two-set lead to lose to Spain's Guillermo Garcia-Lopez 3-6, 1-6, 6-4, 7-6 (8-6), 7-6 (7-3).
David Nalbandian pulled out of the tournament with a rib injury.
- AAP