Only eight months have passed since Mancini's men defeated England in a penalty shootout at Wembley to be crowned European champion.
But tears of joy were replaced by howls of agony in Palermo on Friday (AEDT) as Aleksandar Trajkovski's 92nd-minute strike earned the minnow a memorable victory and a final against Portugal in pathway C of UEFA qualification.
For head coach Mancini, the chain of events since that day in London – including his side's failure to qualify from Group C – is difficult to fathom.
"Just as the Euros was the most wonderful experience of my life, this was the biggest disappointment," he said.
"We can't say anything but this is football. Sometimes incredible things happen.
"Maybe we shouldn't have been there, we did everything to win it. Some matches are like that and it's difficult to talk about it.
"The victory at the Euros was absolutely deserved, we played great football. Then some of the luck we had in that tournament turned into complete bad luck, as some unbelievable things happened from September onwards.
"We dominated the group, all we needed was one of those moments to go well, but neither of them did. Tonight, it feels almost as if conceding a goal at the 92nd minute was fitting.
"This is a group of fine players and I am sorry for them."
The loss is sure to lead to questions over Mancini's future, with even his Euros triumph unlikely to buy him much favour after a desperately disappointing defeat, which means Italy has failed to qualify for consecutive FIFA World Cups for the first time in its history.
But Mancini said it would be wrong to discuss such matters so soon after the event.
"We will see. I think everyone is too disappointed right now to talk about the future," he added.
"I have to say, I care more for my lads now than I did in July. This is such a tough moment, my affection for them is immense.
"It's too early to say what happens next, as there is such disappointment, but at the same time this is a squad of great players with a bright future."