Dejected West Ham players after losing 2-1
Slaven Bilic's side put in an abject performance in what was their first competitive game of the season and were lucky the deficit was not even worse.
Bilic was actually banned from the touchline following his dismissal at the same stage of the competition last year against FC Astra.
The Hammers went 1-0 down on 10 minutes when the referee adjudged Havard Nordtveit had handled in the box and awarded a penalty.
Mark Noble restored parity from the penalty spot but West Ham went on to concede in the second half, failed to threaten the Domzale goal at all and could have lost by more.
But what did we learn from the game?
West Ham's Michail Antonio looked like a fish out of water against Domzale
1) Michail Antonio is NOT a right-back
Most West Ham fans know this already but it seems the only person who doesn't is Slaven Bilic.
The former Croatia boss has persisted with the powerful winger-cum-forward at right back despite a brilliant contribution of 15 goals and assists between December and May last season.
Not only is Antonio not good enough to play at right back for West Ham, he is also completely wasted there.
It is the biggest bone of contention Hammers fans have with Bilic and it was painfully highlighted by a team which averages 2,000 at home games as they carved the visitors open down the right hand side time and time again.
West Ham's Sam Byram receives instructions
2) West Ham need two new full-backs NOW
Continuing that theme, what was patently obvious from the performance is that West Ham are in dire need of not only a proper right back, but also a left-back to cover for Aaron Cresswell - who is out for four months with a knee injury.
Bilic clearly does not feel young Lewis Page is ready or good enough as he elected to play right back Sam Byram at left-back against Domzale.
Byram actually did well all things considered but the back four were all over the place as a result of the uncertainty from both full-backs.
All the great West Ham sides down the years have only been as good as their full-backs and Bilic needs two in sharpish.
West Ham's Andy Carroll in action
3) West Ham are turgid without Payet and Lanzini
The Hammers were abysmal going forward last night and failed to register a meaningful effort on target from open play.
Without star man Dimitri Payet and the injured Manuel Lanzini Bilic's side lacked the style, skill and craft to break down a team that finished third in the Slovenian first division last season.
As a result the Hammers just reverted to hoofing hopeful long balls up to Andy Carroll who tried his best but like the team was poor on the night.
Payet cannot return quick enough but it must be a worry for Bilic and supporters that they have become so reliant on the Frenchman.
Mark Noble said his absence was no excuse, but too often West Ham's players lacked having someone like Payet to give the ball to knowing they could then continue their run and get it back.
West Ham manager Slaven Bilic was banned so his assistant Nikola Jurcevic (centre) stepped in
4) Nikola Jurcevic is not a manager by any stretch
With Bilic up in the stands serving his suspension, his assistant manager Nikola Jurcevic took control.
It is an unenviable position to be in, but Jurcevic, who was not allowed any contact with Bilic during the game, abjectly failed to take any action when it was patently clear Antonio and Byram were struggling.
In fact it looked like he wouldn't make any changes at all despite West Ham tiring badly in the second half.
Then he threw on 16-year-old Domingos Quina for his competitive debut and he looked far too lightweight.
Adrian has kept West Ham in the tie
5) Adrian has kept West Ham in the tie
Former Hammer and pundit David James felt it was too strong to suggest Adrian's last ditch double save has kept West Ham in the tie but on the balance of play you would have to say it has done just that.
A 3-1 deficit, while still retrievable, would have given Domzale the incentive to simply sit with two banks of five and say to the Hammers 'come and break us down'.
Bilic's side couldn't do it in the first leg so it would have left them extremely vulnerable.
As things stand West Ham need just a 1-0 win at the Olympic Stadium next week to progress, and that is all thanks to Adrian.