Watson, who competed for Team GB in the women's singles and doubles at the London 2012 Olympics, lost 4-6, 6-4, 6-2 to Simona Halep of Romania in her first clash at Flushing Meadows.
It could have all been different though had Watson converted when 40-0 up at 4-4 in the second set however she dropped five points in a row and the next four games.
Watson therefore failed to join fellow London 2012 Olympian and mixed doubles silver medallist Laura Robson as well as Dan Evans in advancing to round two.
It is also the third successive time that Watson has failed in the first round at the US Open while she is yet to progress beyond the third round at a Grand Slam.
However the 21-year-old is adamant the more she finds herself in the position she was against Halep the less chance there is that she'll squander the opportunity.
"I knew she wouldn't give it to me and she didn't, and I didn't make first serves on any of those game points," said Watson.
"That game was extremely important and I think once I get a few matches under my belt, I'll learn how to play those points smarter and take my time.
"I think that's why it hurts a lot, because I was so close. But if I keep making these opportunities for myself, I'll take some.
"I played better than I have been. I was playing one of the hottest players on tour right now; she made a lot of balls.
"I thought I played a good two sets and in the third my fitness let me down a bit; I was cramping in my legs. I was bit tense in the way I was moving and hitting the ball.
"All in all, I'm pleased with how I played but I had my chances and I had an opportunity to win that match in two sets. But she's got the confidence and she won the points when it mattered."