Thomas Lam scored a 93rd-minute winner to break Latics’ hearts at the City Ground in a rollercoaster match that featured seven-goals and a penalty save.
Britt Assombalonga opened the scoring for Forest after a poor back pass by Dan Burn had played him through, but Latics soon hit back through Michael Jacobs’ neat finish.
Oliver Burke restored Forest’s lead on 53 minutes before Wigan’s Adam Bogdan produced an excellent save to deny Apostolos Vellios penalty.
Will Grigg drew Latics level again on 65 minutes with a neat header, then Burke restored Forest’s advantage, before Grigg equalised with a well excecuted half-volley.
But ultimately Latics hopes of a point were dashed when Lam’s drive won it for Forest in added time.
Wigan made three changes from the side who drew with Birmingham City on Tuesday night. Luke Garbutt made his debut in place of the injured David Perkins and Michael Jacobs replaced Luke Burke while Shaun MacDonald made his first debut in place of Nick Powell.
Latics got off top a dreadful start and were a goal down after only six minutes. Dan Burn hit a weak back pass which allowed Britt Assombalonga to coolly slot the ball past Adam Bogdan for an easy goal.
But Wigan responded and were level after only 11 minutes. Yanic Wildschut drove forward and fed the ball to Alex Gilbey who cut it back from the by-line to Michael Jacobs who side footed home past Stephen Henderson.
Despite losing Assombalonga to injury, Forest fought back and Matty Cash’s 25 yard shot rocked Bogdan’s upright.
Forest substitute Apostolos Vellios then drew a full length save from Bogdan. Forest were streaming forward in numbers and Vellios found himself one-on-one with Bogdan but the Hungarian keeper did very well to deny him at close range.
Forest were not having it all their own way and Latics went close just before half-time, with Jacobs putting in a dangerous cross, and then MacDonald volleying straight at Henderson, but the teams went in level.
Soon after the restart Forest were ahead when Burke picked up a route one free-kick which evaded the Latics defence and he finished with comfort as Bogdan failed to challenge him.
Latics were struggling now to cope with wave after wave of Forest attacks and on 60 minutes they conceded a penalty when Craig Morgan brought down Cohen.
Bogdan produced a superb save from the spot-kick to deny Burke’s low hard drive. A big let-off for Latics.
Caldwell made changes in an attempt to stem the tide with Luke Burke coming on for Wildschut and Nick Powell for MacDonald.
On 65 minutes Latics got back on level terms with the prolific Will Grigg converting Garbutt’s cross with a clever header at the near post.
It was end-to-end stuff now as both teams upped their game.
Luke Burke almost got on to the score sheet on 68 minutes after good work by Garbutt but the young wing-back’s shot just cleared the angle of post and crossbar.
Both team’s defending was leaving a lot to be desired and it was not long before there was another goal this time to Forest. Burke picked up Cash’s through ball and he was allowed to score far too easily from a tight angle.
Caldwell threw Craig Davies into the fray with ten minutes remaining, in place of Alex Gilbey, in an attempt to get something from the game.
On 86 minutes Latics were once again level as Garbutt’s long throw was flicked on and Will Grigg showed what a great finisher he is with a neat half-volley into the back of the net.
But just when it looked like Latics had secured a hard fought point they were undone in added time.
Wigan were still pressing for the winner but Forest counter attacked and when Hildeberto Pereira was allowed to travel across the penalty area unchallenged he played in Lam who finished with aplomb.
It was a sickening blow for Caldwell and his team who had battled back on three occasions but ultimately Latics’ poor defending had let them down.