The Oles (2-2, 4-5), who trailed by as many as 10 in the first half and nine in the second, had a chance to tie the game in the final seconds, but Bobby Hunter's jumpshot missed as time expired.
Hunter had a team-high 17 and Chad Norberg had 15 in the loss.
Jimmy Shepard's five 3-pointers and 17 points led Wesleyan.
St. Olaf was 3-of-10 from the line in the first half and 19-of-31 in the game.
Wesleyan was 7-of-19 from the charity stripe.
The Oles lost to Hiram University in the event's first round on Wednesday 91-88, shooting just 16-of-31 from the free throw line.
St. Olaf returns to MIAC play on Monday, when they play at Hamline at 8 p.m. The game can be heard via the St. Olaf Athletics Website.
WESLEYAN (CONN.) 68, ST. OLAF (MINN.) 66 ST. OLAF (MINN.) (4-5) Bobby Hunter 8-16 1-2 17; Chad Norberg 5-12 2-4 15; Jon Bain 3-11 3-11 9; Steve Banick 3-6 2-2 8; Mitch Haugen 1-1 4-4 6; Chris Clark 1-1 2-2 4; Jon Butala 0-8 4-4 4; Brady McMahon 1-3 1-2 3; Matt Christensen 0-1 0-0 0. Totals 22-59 19-31 66. WESLEYAN (CONN.) (6-5) Jimmy Shepherd 6-12 0-0 17; Nick Pelletier 1-5 5-8 7; Steve Tolbert 3-7 1-4 7; Doug Rubenstein 3-9 0-0 7; G.Gonzalez-Kreisberg 3-6 0-1 6; Blake Curry 3-9 0-0 6; Jared Ashe 2-6 1-5 5; Sean Collins 2-3 0-1 4; Sam Grover 2-2 0-0 4; Mike Raymond 1-1 0-0 3; Eric Winters 1-2 0-0 2. Totals 27-62 7-19 68. St. Olaf (Minn.).............. 17 49 - 66 Wesleyan (Conn.).............. 24 44 - 68