Price was beaten 6-5 by Luke Humphries in night one's quarter-final in Newcastle after missing a match dart in his last-leg decider.
It was the second time in February that the 40-year-old was punished for narrowly missing a double after wiring tops in his semi-final showdown against Luke Littler at the World Masters.
Following two near misses in his quest to win an event, The Iceman faced more disappointment in Player Championship 2 in Hildesheim.
Price outstanding at Player Championship 2
When Price reaches top gear, few can match his power scoring and proficiency on the treble 20 segment.
That was the case during the Player Championship on Tuesday, as the Welsh maverick produced some sensational scoring enroute to the final.
Price averaged a whopping 117.12 in his first-ever whitewash against Michael van Gerwen, along with four more 100-plus averages in a stunning show of his talents.
After winning more than one in every three legs in 12 darts or fewer, the darting phenom was at his unstoppable best and looked destined to win his first Player Championship of the year.
However, despite averaging an incredible 107.41 and 77.8 per cent on the outer ring in the final, Price was cruelly beaten 8-7 by Wessel Nijman.
The world No.11 would have thought - what more does he have to do win an event? But the remarkable levels he reached in Germany certainly put him in a strong position ahead of Premier League action.
Price eyeing Premier League glory in Antwerp
Having reached the semi-finals or final in four events already in 2026, Price knows that a tournament win is only around the corner.
In most instances, the Welshman is beating his opponents for scoring power, but in the high-pressure moments at the end of legs, he's crumbling on the outer ring.
To win his first major title since 2022 and give himself the best shot at winning the Premier League, Price must be clinical when the chance arises.
On Thursday night, Price faces Gian van Veen in the Premier League, and he's arguably playing him at the best time.
Van Veen was beaten in the second round of Player Championship 1 by Justin Hood on Monday, before being knocked out in the first round by Madars Razma on Tuesday.
The 23-year-old suffered defeat in the final of the Premier League against Van Gerwen last week on debut, and even then, he struggled to demonstrate his class.
So, Price will feel extra confident about his chances, having won five of his six meetings against the Dutchman.
If he prevails in his clash with Van Veen, Price will face either Jonny Clayton or Stephen Bunting in the semi-finals.
Price in best shape possible to win major
Since emerging onto the PDC, Price has won seven major titles, the most lucrative being his 2021 World Championship triumph.
The next biggest missing from his trophy cabinet is the Premier League, and the closest he came to winning that was an 11-5 final defeat to Van Gerwen at the 02 Arena in 2023.
Price, who has hit the most nine-darters in Premier League history, is desperate to triumph in this tournament and feels confident about his chances.
Speaking ahead of night one last week, he said: "I want to win as many majors as I can and win the ones that I haven't won, and this is one of them," he said.
"Fingers crossed it's going to be a good season for me, hopefully I'll make the play-offs and hopefully lift it."
Farming and running a chip shop occupy Price's mind alongside darts, and he's been determined to improve his fitness as of late.
Crucially, after altering his diet and exercising regularly, the 2023 runner-up is feeling the benefits of these positive changes.
"I just do my own thing. I haven't got any programme or a diet plan or a fitness plan, I just go to the gym, I do what I fancy doing on the day and I try and eat as healthily as I can," he added.
"I still eat rubbish food when I want to, but just not so much of it.
"I've gone from an extra large top to a large top, my waist size has gone down and I don't have to breathe in so much anymore."
Price has all the correct cogs in his machine to become a major winner once more, and if he can perform as he did in the Player Championship 2, then glory is surely just around the corner.