While Olympic bronze-medallist Saina suffered a 19-21 15-21 defeat to former world number one Wang Lin in a women's singles match, Ajay went down to world number one Lee Chong Wei 18-21 19-21.
Kashyap had to concede his match midway through the first game against Indonesian Tommy Sugiarto in the men's singles competition due to pain in his abdomen.
World number three Saina was in for a shock as she failed to match 2010 world champion Wang with her smashes during her 37-minute duel at the Hong Kong Coliseum in Kowloon.
Saina, who returned to the court after skipping the China Masters last week because of a knee problem, was not in her elements as she had just five smash winners against 10 by the Chinese.
Wang, who holds a 3-2 record against Saina, brought the Indian close to the net and then used her smashes to good affect.
In the first game, Wang surged to a 4-1 lead but Saina clawed back at 6-6 and held the lead for 10 more points, before the Chinese surpassed her at the last moment.
In the second game, Wang didn't give Saina any chance as she raced to 6-1 first and then held fort, leaving the Indian to do the catch up job.
Among other Indians, Ashwini Ponnappa and Pradnya Gadre suffered a 17-21 18-21 defeat to Thailand's Duanganong Aroonkesorn and Kunchala Voravichitchaikul in the women's doubles competition.
In mixed doubles, top seeded Chinese pair of Chen Xu and Jin Ma ended the journey of India's Pranaav Chopra and Siki Reddy with a 21-16 21-10 victory.
Pranaav also had to taste defeat in the men's doubles event when he and partner Akshay Dewalkar went down fighting 21-23 21-19 6-21 to the second seeded Chinese pair of Yun Cai and Haifeng FU.
