For the third time in the last four years, and on a night of high drama at the Crucible, former world No.2 Maguire went out in the first round as he was overturned 10-9.
The 33-year-old Glaswegian had endured a largely disappointing season before coming to Sheffield, but reserved his best performances for the majors, reaching the quarter-finals of the UK Championship and semi-finals of the Masters.
This time, on the most famous stage in snooker, his performance and demeanour were flat until at 8-4 adrift he happened on prime form, firing in breaks of 56, 134, 58, 74 and 91 to force a deciding frame.
World No.20 Day had been one frame away at 9-6 and the 34-year-old held his nerve under the intense pressure of the decider to make 92 and tee up a possible second-round clash with Judd Trump.
"What can you do, I got a chance in the frame and I never did it - that was it," moaned Maguire. "You only hope for one chance and I got my chance in the balls, but I never did it and Ryan made a good break in the end.
"I'm actually glad this season's finished, it's been a season from hell for me. I just want to forget it and that's that, I'll forget about this in half an hour."
Jamie Burnett is in pole position against Joe Perry after their first session with the score at 6-3 in the Scot's favour. The pair resume battle this morning, and the prize will be a date with Ronnie O'Sullivan.
Elsewhere, Ali Carter scraped home 10-8 in his first-round match against the unseeded Xiao Guodong. "It sets me up for a good tournament," said Carter, who will now play either Mark Selby or Welshman Michael White.
Ken Doherty struck a blow for snooker's senior citizens when he battled back from 5-3 behind to win 10-5 against Stuart Bingham, punching the air in delight as he crossed the finishing line.
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