Ricky Sbragia's young side had turned in two encouraging performances against England and Ukraine and were expected to be altogether too strong for a Montenegro which had conceded 10 goals in their opening two games.
However, the likes of Celtic midifelder Liam Henderson and Dundee United forward Ryan Gauld could not break down Montenegro, who scored early on in Walsall. Ukraine would end up winning the group and qualifying for the finals in Hungary this summer after scoring an injury-time winner against England.
"I don't think you can ever explain some things in football," said Sbragia. "Ukraine have won the group with a 94th-minute winner and we dominated against them, but that's football, isn't it?
"We just have to learn from this. We started well in the game but could have been 4-0 down. All we've told them is to improve on their decision-making. We have to make that right more than wrong.
"If you create chances you have to stick them away. That's been our downfall. The week has been a good learning process. We asked them for a big push, but technically the Montenegro side are good. They have players who can open you up and they did that to us.
"I don't know about them impressing Gordon, we never spoke to them about that. But he came in at the end for a chat with them which was nice. He was very encouraging."
Scotland made five changes to the side which lost narrowly to England on Monday and almost took an early lead when Aberdeen's Cammy Smith forced a fine save from Marko Novovic. However, the young Scots were stunned when Montenegro took a shock lead after 11 minutes when Zarko Grbovic slotted a shot past Rangers' Liam Kelly.