Davenport and partner Lisa Raymond were beaten by the top doubles team in the world, Cara Black and Liezel Huber, 6-7 (1), 6-3, and 10-4 in the match tiebreaker.
But for Davenport, it wasn't all about winning or losing.
"It was fun to be back," she said. "Obviously, this is the first step in a long process."
Davenport had not played since last September, and gave birth to her first child, Jagger Jonathan Leach, in June. She plans to return to singles play next month at a tournament in Bali.
"I feel I'm still very good at my job and having a child doesn't mean you have to abandon all your career and everything," she said. "I feel like while he's this young, and so far this good, I can drag him around the world and try and do what I still love to do."
Davenport lamented having to play the top seeds in the first round. Black and Huber have already won six doubles titles this year, including the Australian Open and Wimbledon.
But Black and Huber said Davenport gave them all they could handle.
"The match was decided by a few points, and we're playing every week and she hasn't played for months," Huber said. "It just goes to show you, she's back and she's good."