Sindhu just couldn't find a way across the attacking game of An Seyoung, who was always a step ahead during the contest.
Sindhu won after a struggle against Busanan Ongbamrungphan 21-16, 12-21, 21-15 in 67 minutes in her last 16 match.
Lakshya, who had finished runners-up at Dutch Open last Sunday, dished out a superb performance to outclass national champion Sourabh 21-9, 21-7 in 26 minutes.
Denmark Open also restarts the BWF World Tour following a suspension due to the COVID-19 pandemic.
The 19-year-old, who claimed five titles in the senior circuit in 2019 including two BWF World Tour Super 100 top honours SaarLorLux Open and Dutch Open, has been advised rest by doctors after he suffered a back injury.
The league, which is one of the highest prize money badminton tournaments in the world, was initially scheduled to take place in the last week of December in Delhi, Mumbai and Pune.
Olympic silver-medallist PV Sindhu says in cryptic post she's retiring from 'current sense of unrest'
As per the statement posted by Sindhu, she’s not retiring from the sport, but rather from the “current sense of unrest” that the COVID-19 pandemic has presented.
Denmark Open: Kidambi Srikanth sails into quarters with win over Jason Anthony Ho-Shue; Lakshya Sen exits
Srikanth will now face world number two Chou Tien Chen of Chinese Taipei, who beat Ireland's Nhat Nguyen 21-8 21-16.
The former world number one, who had claimed four superseries titles in 2017, beat Toby 21-12 21-18 in 37 minutes, as the sport finally got going after the long coronavirus-forced hiatus.
Lakshya, who had claimed five titles including two Super 100 tournaments last year, produced a clinical performance to outwit Popov 21-9 21-15 to reach the second round.
Sindhu, who won the World Championship gold medal last year, had pulled out of the Denmark Open and will now have to perform at the Asia legs to make it to the World Tour Finals.
The Badminton World Federation postponed the Thomas and Uber Cup Finals (3-11 Oct), three events in Asia (in November) to 2021 and also cancelled the Denmark Masters (20-25 Oct).
Lakshya will start against France's Christo Popov, who won the first medal for his country at the World Junior Championships last year.
Sindhu had earlier pulled out of the Thomas and Uber Cup Final but later decided to participate in it, although the event itself eventually got deferred due to the rising number of pullouts.
An Olympic hopeful, Sindhu, who has been training at the national badminton camp in Hyderabad, had been planning to participate in the prestigious tournament.
BWF French Open 2019: Satwiksairaj Rankireddy, Chirag Shetty stun world champions in doubles; Saina Nehwal, PV Sindhu advance to quarters
Two-time Commonwealth Games champion Saina, who had lost in the first round in three successive events, will next take on Korea's An Se Young
Denmark Open: PV Sindhu, Sameer Verma and men's doubles pair Satwiksairaj Rankireddy, Chirag Shetty exit in second round
Fifth seed Sindhu, the Olympic silver medallist, lost 14-21 17-21 to the Korean in a 40-minute clash at the BWF World Tour Super 750 event.
BWF Denmark Open 2019: PV Sindhu, B Sai Praneeth make impressive starts to reach second round; Parupalli Kashyap ousted
Fifth seed Sindhu, who had made early exits in China and Korea, got back her bearing as she overcame former World Junior Champion Gregoria 22-20 21-18 in 38 minutes to keep her 5-0 record intact against the Indonesian.
BWF Denmark Open 2019 preview: Chance for PV Sindhu to show that World Championship title was no flash in the pan
In two tournaments since that epochal triumph at the World Championships, PV Sindhu has failed dismally to replicate the storming form that allowed her to imperiously swwep to the title in Basel.
BWF Denmark Open 2019: PV Sindhu, Saina Nehwal look to shrug off indifferent form; Kidambi Srikanth faces stern first-round test
After claiming the World title in August, Sindhu endured surprise first and second-round exits at the China Open and Korea Open last month, respectively.