The former world No 1 was beaten 6-4, 6-4 by Spaniard Fernando Verdasco, who had also accounted for the Scot in the US Open at the end of last month.
Murray had gone into the match on the back of an impressive win over top seed David Goffin but could not match that display against a more solid Verdasco, who broke his opponent three times.
There was further British disappointment as Cameron Norrie’s hopes of reaching the last four were dashed by Japanese qualifier Yoshihito Nishioka.
Despite his fine run in Shenzhen including a win over top ten-ranked Borna Coric, Norrie will be disappointed to have lost to a player ranked 98 places beneath him.
Nishioka rose to the occasion, racing through a first set tie-break then stepping up his advantage to claim a 7-6 (7/2), 6-2 win and a semi-final meeting with Verdasco.
Seventh-seed Alex de Minaur upset fourth seed Damir Dzumhur, winning 6-3, 7-6 (9/7) to set up a last-four clash with Frenchman Pierre-Hugues Herbert, who beat Spain’s Albert Ramos-Vinolas 6-7 (6/8), 7-6 (7/1), 6-4.
At the Chengu Open, top seed Fabio Fognini needed just 66 minutes to ease into the last four with a 6-4, 6-2 win over Australia’s Matthew Ebden.
Fognini will next face unseeded American Taylor Fritz, who overcame his big-serving compatriot Sam Querrey 7-6 (7/1), 7-5.
The second semi-final will feature seventh seed Joao Sousa, a 6-1, 3-6, 6-3 winner over Malek Jaziri of Tunisia, against qualifier Bernard Tomic, who beat Canadian lucky loser Felix Auger-Aliassime 6-2, 6-4.
On the women’s tour, Aryna Sabalenka of Belarus beat last year’s losing finalist Ashleigh Barty to reach her fourth WTA Tour final of the year at the Wuhan Open.
The in-form Sabalenka fought through a tough first set and crucially seized the only break of the second as she wrapped up a 7-6 (7/2), 6-4 win.
Barty beat Sabalenka in their only previous match at the Australian Open in January but the 20-year-old has improved since and won her first career title in Connecticut.
Sabalenka will get her chance to claim more silverware when she faces Anett Kontaveit of Estonia in today’s final.
The world No 27 reached her first final of the year when home favourite Wang Qiang was forced to retire trailing 6-2, 2-1 due to a left thigh injury.
Seventeen-year-old qualifier Anastasia Potapova cruised into her second final of the year at the Tashkent Open in Uzbekistan.
The Russian needed less than an hour to dispatch Ukraine’s Kayeryna Kozlova 6-2, 6-3 and set up a final against compatriot and doubles partner Margarita Gasparyan.
Gasparyan endured a somewhat tougher route to the final as she out-lasted Germany’s Mona Barthel 4-6, 6-1, 7-5.