Albion suffered Sky Bet Championship Play-Off semi-final heartbreak with a 3-1 defeat at Southampton on Friday evening.
Second half goals from Will Smallbone and Adam Armstrong (2) were the difference on the south coast, despite a late Cedric Kipre consolation.
The result brings an end to an encouraging campaign from Carlos Corberán’s men, who battled until the very last kick.
The boss opted to make one switch in Hampshire, replacing Brandon Thomas-Asante with captain Jed Wallace up top, and it was the visitors who threatened first via Grady Diangana’s header - which went narrowly wide.
David Brooks tapped an effort off-target down the other end before the Baggies went close again near the 20-minute mark, when Tom Fellows’ cross hit the woodwork.
Albion soaked up more and more pressure as the opening period continued, yet managed to keep things goalless come the interval, Alex Palmer saving Brooks’ long-range effort in the Saints’ only notable shot.
Four minutes after half-time, though, the Saints went ahead. Brooks handed Smallbone possession just outside the area, and he fired home off the post.
Albion tried to hit back - Alex Mowatt’s side-footer getting deflected wide and Darnell Furlong seeing a volley well saved by Alex McCarthy.
However, Southampton notched the all-important second 12 minutes ahead of full-time - Armstrong converting a low finish across goal and into the bottom corner.
And Armstrong confirmed their victory not much later, netting from the penalty spot and sealing the saints a spot at Wembley.
Kipre nodded home a late consolation for the Baggies in the final minute of added on time, with the referee blowing for full-time after the restart.
Albion: Palmer; Furlong, Kipre, Bartley, Townsend (Reach 73); Yokuslu (M’Vila 64), Mowatt (Weimann 82); Fellows, Diangana (Swift 64), Johnston; Wallace (Thomas-Asante 64).
Substitutes: Griffiths, Ajayi, Chalobah, Phillips.