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Two-time Commonwealth Games champion Saina went down 12-21, 21-17, 12-21 to Han Yue of China.
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.
Results 11-14
