Vitor Pereira became Forest's fourth manager of the season in February when he was parachuted in to rescue them from a relegation battle, with progress in Europe regarded as a bonus.
The Portuguese hit the ground running with a win over Fenerbahce in his first game but has been unable to build further momentum – failing to win any of the following five matches across all competitions.
He had eight days to prepare his players for the last-16 first leg following a 2-2 draw against Manchester City in their previous game and their performance, if not the result, suggested that additional training time has been beneficial.
Forest played with confidence that defied the fact they have won just one of their last eight games in all competitions – but ultimately they left the field with a familiar feeling of frustration.
Elliot Anderson was the standout performer and looked every part the player he did when helping Forest to qualify for Europe last season.
Morgan Gibbs-White was full of energy and Omari Hutchinson – brought in as one of three changes from the draw at City – also caught the eye.
Midtjylland, who beat Forest 3-2 in the league phase of the competition and finished third in the overall standings, were happy to play on the counter-attack and had several warnings from the referee for time-wasting.
The Danish side rode their luck but took their opportunity when it arrived with impressive ruthlessness while Forest – who had 22 attempts at goal – had nothing to show from a dominant performance.