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MADRID — Naomi Osaka’s clay-court season started with a loss in the first round of the Madrid Open against Lucia Bronzetti on Tuesday.

Japan’s four-time Grand Slam champion stumbled on match point as Bronzetti completed a 6-4, 2-6, 6-4 win before checking Osaka was OK as they approached the net for a post-match handshake.

The 55th-ranked Osaka was unseeded in Madrid for her first match in almost a month since reaching the fourth round of the Miami Open. Italy’s Bronzetti will play...