Sindhu, seeded seventh, squandered a game lead to lose 13-21, 21-15, 21-13 to the second seed Tai Tzu for the sixth time in row.
London Olympics bronze medallist Saina went down fighting to American Iris Wang, 11-21 17-21.
While Praneeth went down to world No. 6 Anthony Sinisuka Ginting of Indonesia, Sameer lost to world No. 8 Jonatan Christie, also from Indonesia.
The women's singles saw Taiwanese top seed Tai Tzu-ying clinch her third consecutive Malaysia Open title.
Srikanth went down in straight games 18-21, 19-21 in the 48-minute contest.
Eighth-seeded Srikanth defeated Thailand's Khosit Phetpradab 21-11, 21-15 in little over half an hour to set up a meeting with Olympic champion and fourth seed Chen Long of China.
H S Prannoy bowed out after losing 12-21, 21-16, 21-14 to Sitthikom Thammasin of Thailand.
The 24-year-old from Madhya Pradesh, who had lost to Shi Yuqi in the semifinals of the World Tour Finals in December last year, suffered a 20-22, 23-21, 12-21 loss.
Lee beat Kento Momota to end the Japanese rising star's winning streak since his return from a one-year suspension while bagging his 12th title at the tournament.
Srikanth, who had reached World No 1 briefly in April, lost 13-21, 13-21 to World No 11 Momota, who registered his 21st consecutive win.