Rio Olympics silver-medallist Sindhu was shown the door by unseeded Chen Yufei of China 18-21 21-19 21-17 in women's singles at the Stadium Perpaduan.
It took Chen one hour and eight minutes to get the better of the sixth-seeded Indian, who entered the tournament following her title triumph in the India Open last Sunday.
London Games bronze-winner Saina lost to Japan's Akane Yamaguchi, seeded fourth, 19-21 21-13 21-15 in a match that lasted 56 minutes.
However, Ajay Jayaram defeated Chinese Qiao Bin in straight sets 21-11 21-8, needing barely 31 minutes to complete a comfortable win in the men's singles opening round match.
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