After just three days of the tournament, no British singles players remain, with Watson joining Andy Murray, Johanna Konta, Dan Evans, Cameron Norrie and Liam Broady by going down 7-6 (4) 6-4 to France's Fiona Ferro.
Watson was an early break up in both sets in damp, cool conditions at Roland Garros but was unable to hold on to her advantage.
The British number two had a brilliant start to 2020, capped by her fourth WTA title in Acapulco in February, but has not won a match since the tour restarted in August.
That lack of victories perhaps played a part at the biggest moments, with Ferro winning more of the important points in what was a very close match.
Watson had beaten the Frenchwoman twice in 2020 and moved into a 3-1 lead but back came Ferro and it was Watson who had to save three set points at 5-6.
A tie-break was her reward but Watson paid the price for a series of errors and could not build on a 2-0 lead in the second set.