The 23-year-old Dane vowed to move on in her life after Wickmayer won a high-quality baseline battle 7-6(5) 4-6 6-2, condemning Wozniacki to her first opening round defeat at Roland Garros since her debut in 2007.
At the post-match press conference, the former world No.1 said she would not answer questions about her private life, but made a short statement.
"The only thing I really have to say is that, you know, thank everybody for their support and sweet messages. That's really nice.
"You know, what happens in my personal life, I just want to really keep that between my closest people around me. You know, I just have to move on."
She later added: "You're not prepared for something like this, and it came as a bit of a shock. You need to just keep going and keep moving forward."
The players swapped breaks of serve in the first set and the advantage swung one way and then the other in the tiebreak before the Belgian ended a superb rally with a backhand crosscourt winner to take it.
Wozniacki wasted five break points in the sixth game of the second set but made amends with the score at 5-4 when Wickmayer, serving to stay in the set, netted a simple forehand to bring the Dane level. But Wickmayer, going for her shots, hit back immediately by breaking Wozniacki in the first game of the final set and again in the fifth.
The Dane broke back thanks to a lucky net cord and a fine drop shot but Wickmayer, ranked 64th in the world, was now clearly on top and sealed victory on her first match point after Wozniacki netted.
Wickmayer was delighted with her win and said Wozniacki was not the only player with personal problems. "I think she's strong, she's going to recover. She's been through a lot, but she was No.1 for a while, so I think she'll get over it."
''We all live difficult times with the boyfriend or when somebody dies or when you have personal issues. We all have our personal issues. Everybody is aware of it, because they're a famous couple. But there are other players who have very personal problems,''
Unseeded Kristina Mladenovic beat Australian Open champion Li Na 7-5 3-6 6-1 in what was the biggest shock of the tournament so far.
Second seed Li, who won at Roland Garros in 2011, looked impotent on court Suzanne Lenglen on another chilly day in Paris, following men's Australian Open champion Stan Wawrinka to the Roland Garros exit door.
World number 103 Mladenovic, who won the juniors' title in Paris in 2009, will next face American Alison Riske, looking to make it past the second round on home clay for the first time.
"I don't think I had a bad day," Li told a news conference.
"The problem is myself. I don't think I'm doing well on the court. And also, even during the match, I don't think I followed the game plan, in my mind I didn't have any idea how to play the match."
Once dubbed the next big thing of French women's tennis, Mladenovic saved two set points in the opener, lost focus in the second but stepped up a gear again in the decider to wrap it up on her second match point.
"It's incredible, without you I would not have done it," a tearful Mladenovic told the crowd.
"When such a player comes back in the match, you know you will have to seize every opportunity. I have been working hard."
She later told a news conference that her task now was to capitalise on her first-round success.
"If you beat Li Na you don't think about losing in the next round. I'll have big expectations for the next round," she said.
"It can be tough sometimes for us French players to play in front of our crowd, but when you're playing a close game it can be good for us to have the crowd with us. I could feel the atmosphere could make the difference."
The 21-year-old Mladenovic, who has two mixed-doubles grand-slam titles to her name with Canadian Daniel Nestor, traded breaks twice with Li early on, and after saving two set points at 5-4 she went on to break again and clinch the set when her opponent's forehand sailed long after just over an hour's play.
She could not sustain the rhythm in the second set, which Li comfortably bagged following an early break.
Mladenovic broke Li to love in the fourth game of the decider and never looked back, raising her arms in celebration after just over two hours on court, when the Chinese's forehand went long once again.
But the Romanian lost concentration and gave up two games before winning on her first match point. The diminutive Halep won the juniors' title at Roland Garros in 2008 and her power and accuracy from the baseline will trouble all but the best here.
She was the most improved player on the women's tour in 2013 after winning six WTA titles, and carried her form into the new year, reaching the quarter-finals of the Australian Open.
Japan's Kimiko Date-Krumm, the older stateswoman of the WTA Tour at 43, saved four match points but still went down 6-3 0-6 6-2 to 24th seed Anastasia Pavlyuchenkova.
Svetlana Kuznetsova, the Russian 27th seed and 2009 French Open champion, eased through 6-3 6-1 against Georgia's Sofia Shapatava. Romanian 26th seed Sorana Cirstea beat Canada's Aleksandra Wozniak 6-7(3) 7-5 6-2.
French Open women's singles first round results
Kristina Mladenovic (France) beat 2-Li Na (China) 7-5 3-6 6-1
4-Simona Halep (Romania) beat Alisa Kleybanova (Russia) 6-0 6-2
15-Sloane Stephens (U.S.) beat Peng Shuai (China) 6-4 7-6(8)
24-Anastasia Pavlyuchenkova (Russia) beat Kimiko Date-Krumm (Japan) 6-3 0-6 6-2
26-Sorana Cirstea (Romania) beat Aleksandra Wozniak (Canada) 6-7(3) 7-5 6-2
27-Svetlana Kuznetsova (Russia) beat Sofia Shapatava (Georgia) 6-3 6-1
Teliana Pereira (Brazil) beat Luksika Kumkhum (Thailand) 4-6 6-1 6-1
Alison Riske (U.S.) beat Mirjana Lucic-Baroni (Croatia) 7-6(2) 6-3
Heather Watson (Britain) beat Barbora Zahlavova Strycova (Czech Republic) 6-3 6-4
Kiki Bertens (Netherlands) beat Alexandra Cadantu (Romania) 7-6(5) 6-1
Camila Giorgi (Italy) beat Bojana Jovanovski (Serbia) 6-4 6-3
Polona Hercog (Slovenia) beat Jana Cepelova (Slovakia) 6-2 6-3
Silvia Soler Espinosa (Spain) beat Chanelle Scheepers (South Africa) 6-2 6-3
Elina Svitolina (Ukraine) beat Petra Martic (Croatia) 5-0 (Martic retired)
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