The home side took the lead after just five minutes and Ilcho Naumoski's strike proved to be decisive as Srecko Katanec's men held on to claim all three points.
The searing temperatures in Skopje were always going to be an issue for the Scots and they lacked a cutting edge for the remainder of the game, failing to find the goal that would at least have allowed them to put an early point on the board.
George Burley had his preferred team in mind for several weeks ahead of this match and there were no real surprises when his starting XI was revealed.
Kenny Miller and James McFadden both started and were given the task of getting the goals despite a less than inspiring partnership in last month's drab goalless friendly against Northern Ireland at Hampden.
With West Brom's James Morrison injured, Barry Robson was given the nod in midfield alongside Celtic team-mates Paul Hartley and Scott Brown, as well as Darren Fletcher.
As expected, stand-in skipper Stephen McManus was able to shake off a knock he picked up in last week's Old Firm derby to take his place in the heart of defence with Gary Caldwell.
Hundreds of Scotland fans were locked out of the City Stadium before kick-off when the Macedonian Football Association refused to allow entry to those with tickets for the home end, fearing for the safety of fans.
The 1,000 travelling supporters who did manage to see the game witnessed the worst possible start when Scotland found themselves trailing with just five minutes on the clock.
The Macedonians earned a free-kick just outside the area when McManus was deemed to have fouled Goran Maznov and Goce Sedloski stepped up for the set-piece. His effort was touched on to the post by goalkeeper Craig Gordon but Naumoski pounced to rifle home the rebound from six yards.
The Scots could have hit back through a free-kick of their own when Graham Alexander was fouled by Robert Petrov but Robson's curling shot was weak and easily smothered by goalkeeper Petar Milosevski.
Macedonia threatened again when Petrov provided a cross from the left for Goran Pandev but his ferocious volley cannoned off the body of Caldwell, denying the home side's star man the chance to add to their tally.
Scotland then had a decent chance of their own when Fletcher set up McFadden and he embarked on a run which took him past several red jerseys only for his shot to be blocked by the body of Igor Mitreski, before the Birmingham striker nodded the rebound wide.
At the other end, the home fans screamed for a penalty when Maznov went to ground under pressure from Gordon but the Macedonia man appeared to make the most of it and the pleas were ignored by referee Pavel Kralovec.
Veliche Shumolikoski then released Maznov on a surging run which was halted by Caldwell. The ball broke to Pandev but he fired straight at Gordon in what proved to be the last real chance of the first half.
Scotland tried to force their way back into the game after the break and Scott Brown drew a decent save from Milosevski with a well-struck shot from distance, before the heroics of Gordon prevented the visitors from falling further behind.
A Pandev corner was cleared as far as Shumolikoski who unleashed a thunderous long range effort that the Scots keeper just managed to tip over the crossbar with one hand.
Gordon then punched to safety a dangerous cross into the box from Pandev before Maznov could connect with a header at his right post.
Scotland made their first change when Kris Commons replaced Hartley, before Gordon was again called into action to block a point-blank effort from Naumoski.
Burley's men failed with their own claim for a penalty when Miller played through McFadden and he went to ground as the goalkeeper dived to claim the ball.
No spot-kick was forthcoming and all McFadden earned for his protests was a yellow card from the Czech official.
Miller was withdrawn for Rangers team-mate Kris Boyd with 10 minutes to go as the Scots had one last throw of the dice but Macedonia held on for maximum points with Burley still seeking his first win as Scotland manager.