The fourth-seeded Austrian was beaten 4-6, 5-7, 6-3, 6-4, 6-4 by 68th-ranked Pablo Andujar in the first round.
It marked the first time in eight appearances at the clay-court Grand Slam that Thiem lost his opening match.
Andujar also defeated Roger Federer in Geneva earlier this month. It’s the first time in his career that Andujar has come back to win after losing the opening two sets.
Thiem dropped to 11-9 in five-set matches.
Thiem lost the 2018 and 2019 finals to Rafael Nadal.