Canada wasn't in the game from the outset. Head coach Dan Church left Calgary in the morning without addressing the players.
He told The Canadian Press he felt the organization lacked confidence in his ability to defend the Olympic gold medal in February.
Assistant coaches Danielle Goyette and Lisa Haley are co-coaching the team until Church's replacement is named.
The loss snapped Canada's three-game winning streak against the Americans since losing to the them in this year's final at the world championship in April.
Canada mustered just 10 shots on U.S. goalie Jessie Vetter in the first two periods and 16 overall at the Markin MacPhail Centre in Calgary.
Alex Carpenter, Brianna Decker, Hilary Knight and Meghan Duggan scored with Megan Bozek adding an empty netter for the U.S.
Defenceman Tara Watchorn scored the lone goal for Canada after they fell behind 3-0. Goaltender Shannon Szabados stopped 24-of-28 shots.
"It was an emotional day," Montreal forward Caroline Ouellette said. "A lot of different feelings around the team.
"I suspect that's always the case when a head coach steps down in the NHL. It's just never happened to us. I think we have some people who are feeling mixed emotions.
"That's not an excuse. We clearly were not the better team tonight. There's a lot of areas of our play that were exposed and that we weren't good at. Our passing wasn't sharp, our changes, and those are details we cannot have go that bad.
"Maybe we were cruising a little bit having three successful games against them. They took what made us successful in the past games and shoved it at us. They were better on the forecheck and quicker on loose pucks."
Goyette, who won gold medals in women's hockey with Canada in 2002 and 2006, pointed out major distractions can happen at the Olympics and the team must learn to play through it.
"Any situation like that can happen at the Olympics," she said. "It could happen at the world championship. If something happens really major, we have to be able to turn the switch for two and a half hours and play the game and take care of business."
Canada's all-time leading scorer Hayley Wickenheiser suffered a lower-body injury on her second shift. The forward went down in the neutral zone, got up slowly and skated in pain to the bench.
She briefly returned to the ice late in the first period, but did not appear the rest of the game.
"The doctor had a quick look at her," Haley said. "She doesn't feel it's anything too serious. Obviously they're going to take another look at it tomorrow to see how it responds, but everybody is pretty optimistic it's going to be a day-to-day thing."
Canada and the U.S. scheduled six exhibition games against each other prior to the Winter Olympics in Sochi.
Canada won the first two and also beat the Americans 4-2 in the preliminary round of the Four Nations Cup tournament in November. The two sides meet again Dec. 20 in Grand Forks, N.D., Dec. 28 in St. Paul, Minn., and Dec. 30 in Toronto.
The U.S. was also upset 3-0 by Finland in the Four Nations tournament, so they were highly motivated to beat Canada at home on Thursday. The Americans have individual speed and skill, which makes them lethal on the power play. They scored twice with a man advantage.
"We've just been working on getting better," U.S. head coach Katey Stone. "We need to get better in our end. That has been the primary focus since November, honestly. Not throwing pucks around and chasing pucks. Trying to possess as many pucks as we can and working our way up the ice zone by zone.
"It sounds really dull, but it's paying dividends for us. We've got plenty of kids who are creative offensively, explosive offensively. We let them go, but we've got to take care of their own end."
Canada's team game has been superior because the women play high-tempo games against male midget triple-A teams. But the host team's game was disjointed Thursday.
"We have to respect Dan Church's decision, but at the same time we have to go to work," Goyette said. "But, hey, we're human. Right now it's difficult for the team and difficult for everybody around the team
"Tonight it was hard to focus, but we can't use that as an excuse. I don't think we played the game tonight. I think we were watching the game and it cost us."