The 21-year-old, who was born in Hong Kong but is based in Doncaster, served for the match twice in the final set against 2010 finalist Vera Zvonerava before being beaten 6-4 6-7 (7/3) 9-7.
British No 5 Moore has just one WTA main tour win to her name and would have made nearly half her entire career earnings of £97,000 had she closed out the match.
“Vera played really well and was better than me in the crucial moments,” said Moore, who was making her third appearance in the main draw at Wimbledon.
“I was very nervous out there, but the crowd was amazing.”
Moore wobbled when serving for the match at 5-4 ahead, with the first-round tie having resumed following an abandonment due to bad light on Tuesday.
But she gifted Zvonareva – also on a wild card after plummeting down the rankings due to illness – a break to level. Moore broke for a 6-5 lead, but once again could not serve out the victory.
Experienced Russian Zvonareva then brought all her big-match nous to bear to edge out Moore by claiming victory on her second match point.
Moore is a product of Nick Bollettieri’s famous academy in Florida that counts Andre Agassi and Maria Sharapova among its alumni. She is being sponsored by a mobile phone company at Wimbledon and they are donating £3 to Rally for Bally, the charity set up in memory of Elena Baltacha, who died of liver cancer last month aged 30, every time Moore pumped her fist.