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The eighth seeded Indian lost 21-15 25-27 12-21 against Blichfeldt, seeded 12th, in a marathon women’s singles match that lasted an hour and 12 minutes on Thursday.
Saina boasts of a silver (in 2015 Jakarta) and a bronze medal (2017 Glasgow) to her credit at the World Championships.
Saina’s compatriot and two-time silver medallist PV Sindhu, however, sailed into the quarterfinals with an easy 21-14 21-6 win over ninth seed Beiwan Zheng of the United States.
Sindhu will now face second seed Tai Tzu Ying of Chinese Taipei in the quarterfinals.