The 24-year-old Briton who was tipped for a medal skipped the two opening qualifying rounds at 4.20 metres and 4.40m, instead opting to come in at 4.55m.
But there was disaster as she failed in her three attempts at that height, far from the world-leading 4.92m she vaulted in Toulouse in June.
Caudery crumbled to the track in floods of tears and was consoled by teammate and Tokyo Olympic bronze medallist Holly Bradshaw, who herself had gone out at the 4.40m mark.
Caudery was at a loss to explain what had gone following her dramatic exit.
"I'm shocked," Caudery told reporters. "So disappointed and I'm so sorry to everyone at home; I didn't have any excuse.
"Best shape of my life. I love big crowds. I didn't feel overly nervous. I don't have a reason right now for what just happened."
While Caudery's decision to forgo the earlier qualifying heights might have looked questionable in hindsight, the Briton said she had been comfortably clearing heights of 4.55m in training on a regular basis.
"I'm above 4.55, day-in, day-out," she said. "I've been jumping 4.84, 4.90 all year round. So 4.55 shouldn't be a problem.
"It was just a really unfortunate day. And I'll go and talk to my coach after this and we'll kind of figure out what went wrong."
