Pegula was demolished 6-2, 6-3 by the world number 116 in just 58 minutes on Court Two.
It was a bitter blow for 2024 US Open finalist Pegula, who has never been past the quarter-finals at the All England Club.
The 31-year-old played with heavy strapping on her right knee and never looked comfortable in a lacklustre performance.
Since losing last year's US Open final against Aryna Sabalenka, world number three Pegula has been eliminated before the quarter-finals in all three of her Grand Slam appearances.
It was only Cocciaretto's second win against a top-10 player.
The 24-year-old has never been past the third round at Wimbledon and her best Grand Slam performance was a run to the last 16 at last year's French Open.