Caroline Wozniacki’s return to tennis and the public eye after her break-up with golfer Rory McIlroy ended in more pain on Tuesday when the 13th seed was knocked out in the French Open first round by Yanina Wickmayer.

The 23-year-old Dane vowed to move on in her life after Wickmayer won a high-quality baseline battle 7-6 (5) 4-6 6-2, condemning Wozniacki to her first opening round defeat at Roland Garros since her debut in 2007.

At the post-match press conference, the former world No 1 said she would not answer questions about her private life, but made a short statement.

“The only thing I really have to say is that, you know, thank everybody for their support and sweet messages. That’s really nice.

“You know, what happens in my personal life, I just want to really keep that between my closest people around me. You know, I just have to move on.”

She later added: “You’re not prepared for something like this, and it came as a bit of a shock. You need to just keep going and keep moving forward.”

The players swapped breaks of serve in the first set and the advantage swung one way and then the other in the tiebreak before the Belgian ended a superb rally with a backhand cross-court winner to take it.

Wozniacki wasted five break points in the sixth game of the second set but made amends with the score at 5-4 when Wickmayer, serving to stay in the set, netted a simple forehand to bring the Dane level.

But Wickmayer, going for her shots, hit back immediately by breaking Wozniacki in the first game of the final set and again in the fifth.

The Dane broke back thanks to a lucky net cord and a fine drop shot but Wickmayer, ranked 64th in the world, was now clearly on top and sealed victory on her first match point after Wozniacki netted.

McIlroy, also a former world No 1 in his sport, said he called off the engagement after getting cold feet while sorting out the wedding invitations.

The Northern Irishman told the world of his pain at the break-up on the eve of last week’s BMW PGA Championship at Wentworth but he went on to win the European Tour’s flagship event.

Wozniacki wasn't the biggest casualty in the women's draw as Li Na helped Stan Wawrinka set an unwanted record after joining her fellow Australian Open champion in losing in the first round.

Li's 7-5 3-6 6-1 loss to Kristina Mladenovic came around 16 hours after Wawrinka was dumped out by Guillermo Garcia-Lopez and it is the first time ever that the ignominious double has occurred.

Second seed Li won the title in Paris three years ago but only made the second round last year.

Mladenovic has been having a poor year in singles, dropping outside the top 100, and it looked like Li had turned things around when she won the second set.

But the Chinese player was having one of her wild days and Mladenovic dominated the deciding set before bursting into tears at her moment of victory.

Li is the first Australian Open women’s champion to lose in the opening round in Paris since Lindsay Davenport 14 years ago.

She cut a dejected figure in her press conference and felt her mind rather than her tennis was to blame for the loss.

“I think it doesn’t matter who plays today against me, I would always lose the match today, because I don’t think she was putting a lot of pressure on me.

“I think today I just gave it away. I think today is not about the tennis game. So many things are wrong.

“If I’m doing well, I believe I still can win the match if it’s not my best day. But I don’t think today I try a lot.

“Of course the easy thing I can say is it’s a bad day for me, but it’s not. I’m 100 per cent sure.

“The problem is myself. I didn’t follow the game plan and, even when I was standing up in the court, in my mind I didn’t have any idea how to play the match.”

Fourth seed Simona Halep had no such problems, the Romanian narrowly missing out on a double bagel on her way to a 6-0 6-2 victory over Russia's Alisa Kleybanova.

Halep’s rise up the rankings over the past year has been remarkable and this was only her second ever win in the main draw at Roland Garros.

It was also her debut on Court Philippe Chatrier, and things could not have been going better when she led 6-0 5-0 only to be broken when she served for the set.

She said: “I was thinking at that moment at 5-0 that I can win 6-0 6-0, but that wasn’t too good. I was a little bit relaxed after that, and it was cold. I felt a little bit in my back.

“But I stayed focused after two games lost, and then I served really well.”

Former French Open champion Svetlana Kuznetsova is always a threat on clay and she was an easy 6-3 6-1 winner over qualifier Sofia Shapatava.