FC Midtjylland 1-0 Southampton (agg 2-1)
Southampton failed to reach the Europa League group stage as they were beaten by Danish champions Midtjylland.
A first-half goal from former Celtic striker Morten Rasmussen secured a 2-1 aggregate win - and with it a place in Friday's group stage draw.
The Saints saw an early Jose Fonte effort cleared off the line but were then punished by Rasmussen's angled shot following a Jay Rodriguez error.
Southampton rarely looked like getting an away goal to force extra time.
After finishing seventh in the Premier League last season, this was a disappointing end to Southampton's first entry into Europe since 2004.
Ronald Koeman's side eased past Dutch club Vitesse Arnhem in their first qualifying round but did not convince against Midtjylland in the first leg, drawing 1-1 at St Mary's.
And apart from Fortune's early chance and a blocked shot from James Ward-Prowse, they carried little threat on Thursday.
Rasmussen accepted a pass from Kristian Bach Bak to turn sharply and hit the 28th-minute winner after Rodriguez had been caught in possession.
Testing time for Koeman
The Dutchman could do little wrong in his first season in charge as he defied the doubters following the sale of some of Southampton's biggest names - including Rickie Lambert, Adam Lallana, and Dejan Lovren - to lead Southampton into Europe.
But second-season syndrome now looks a real threat with Southampton again selling over the summer with key midfielder Morgan Schneiderlin and defender Nathaniel Clyne both leaving.
The Saints are yet to win in the Premier League and will now have to get over the disappointment of their early Europa League exit.
Last season, Hull were knocked out in Europa League qualifying and went on to be relegated. Southampton are a long way from that prospect but Koeman's managerial acumen will now be tested.
Shut that window
The Saints could do with the transfer window shutting without any further exits.
Midfield powerhouse Victor Wanyama has been linked with Tottenham and forward Sadio Mane with Manchester United.
Neither played in Denmark and both were missed.
The Saints can't afford to lose any more of their key players and need to strengthen. A move for Celtic defender Virgil van Dijk could happen now that the Scots are out of the Champions League.
Man of the match - Morten Rasmussen
"We were the better team"
Southampton manager Ronald Koeman, speaking to BT Sport: "In both games we were the better team, we had the most chances. We scored a goal at home that was disallowed and tonight we need a penalty for a handball from the free-kick.
"We worked very hard but sometimes you need good decisions. We didn't have that. In my opinion that makes the result.
"Sadio Mane wasn't 100% and it will be a long season. I didn't take that risk to put him in. We need him for more games."
What next for Saints?
Southampton are at home to Norwich on Sunday and could do with a first Premier League win just to settle things down ahead of the international break.
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