The USWNT was defeated by Canada, 1-0, after allowing a goal on a penalty shot scored by Jessie Fleming in the 75th-minute of play on Monday (August 1).
The reigning World Cup champions have now failed to reach the final in consecutive Olympic tournaments, having been eliminated in the quarterfinal round by Sweden in the 2016 Rio Summer Games.
The USWNT had previously won Olympic Gold four times (1996, 2004, 2008 and 2012) and defeated Canada in all previous meetings during the past 20 years, as well as during 58 of their past 62 matches.
The U.S. will face Australia during the bronze-medal match on Thursday (August 5), who was defeated by Sweden in the other Olympic semifinal.
USWNT goalkeeper Alyssa Naeher was forced off due to a knee injury 30 minutes into Monday's loss. The Americans played better in the second half, with Carli Lloyd and Julie Ertz forcing difficult shots on goal.
However, Canada was awarded a penalty through VAR after Deanne Rose was fouled by Tierna Davidson in the box.
Veteran striker Christian Sinclair initially prepared to take the decisive penalty shot, but Fleming took over and was successful.
Lloyd provided a late threat on a would-be goal off the crossbar, but Canada managed to hold off the Americans for the victory.
The Canadians will appear in their first ever gold-medal Olympic match on Friday (August 6) against Sweden.
The USWNT started the Olympic tournament off with a disappointing 3-0 loss to Sweden, which snapped a previous 44-game winning streak, as well as a scoreless draw with Australia in the group stage.