The 13th-seeded Dane suffered a spectacular collapse in a 0-6 6-3 6-3 defeat to Russia's Veronika Kudermetova on Court Philippe Chatrier on Monday, just 24 hours after Angelique Kerber and Venus Williams were also sent packing.
Wozniacki, who had spells as world number one between 2010 and 2012, has failed to win a match on red clay this year as she was forced to retire with back and calf injuries midway through her opening round contests in Madrid and Rome.
Wozniacki, who had reached the Charleston final on green clay before she suffered the injury setbacks, paid for her lack of match practice after a near-perfect start on Monday.
"I think I played really well in the first set. I played aggressive. I played the way I wanted to play. And then I think she got very lucky in the start of the second set and... took advantage of the opportunities she got," Wozniacki told reporters.
"And then I just lost a little steam in the end and I made some unforced errors that I normally don't do, so that was very frustrating."
The 28-year-old Wozniacki has never made it past the quarter-finals in 12 appearances at Roland Garros.
The Dane suffers from arthritis but said her condition had not been bothering her lately.
"Lately I've been feeling good with that, so when I feel good, I just do what I normally do and just go through every day and work hard," she explained.
But the calf problem hampered her preparations for the French Open even if she did not feel any pain on Monday.
"Lately it's just been my calf, which has nothing to do with the other thing. And sometimes you're just unlucky as an athlete," she said.
"You get hurt, you get injured, and you just have to try to work through that."
Wozniacki, who has won just nine matches in 2019, will now focus on the grasscourt season.
"It hasn't been a great year for me so far. And I'm just going to try and work hard and try to turn that around," she said.
(Reporting by Julien Pretot; Editing by Pritha Sarkar)
