Messi had not played for the national team since their last-16 elimination by eventual winners France at the 2018 World Cup – a tournament for which Venezuela finished bottom of South American qualifying.
But it was Rafael Dudamel's men who stole the show at the Wanda Metropolitano, with Salomon Rondon and Jhon Murillo firing them into a 2-0 lead in the first half.
Lautaro Martinez pulled one back for Argentina after the interval but this was a poor showing from Lionel Scaloni's side, whose fate was sealed by a Josef Martinez penalty 15 minutes from time.
Venezuela took their unexpected lead when a ball over the top from Roberto Rosales was brilliantly brought down and prodded home by a composed Rondon after only six minutes.
Wuilker Farinez produced a spectacular save to keep out a close-range Lautaro Martinez header on the half-hour mark.
Messi had delivered the cross for Lautaro Martinez's headed effort and witnessed Farinez's talents first-hand when his strike from the edge of the box was tipped over the crossbar by the goalkeeper.
Darwin Machis and Rondon squandered opportunities before Murillo deservedly doubled Venezuela's advantage, capitalising on a quickly taken free-kick to curl a wonderful effort beyond the reach of Franco Armani from 18 yards.
When Argentina's response arrived, it happened in the blink of an eye.
A rapid counter-attack involving Messi ended with Giovani Lo Celso playing a perfect pass into the path of Lautaro Martinez, who made no mistake with a cool finish.
Argentina piled on the pressure in pursuit of an equaliser but were fortunate to avoid giving away a penalty when Machis went down under the challenge of Leandro Paredes.
Venezuela did get their spot-kick in the 75th minute after Juan Foyth clumsily brought down substitute Josef Martinez, who sent Armani the wrong way with a peculiar penalty routine, running up and leaping into the air before striking the ball.
What does it mean? Messi's miserable return
This outing will have done little to convince Messi that he has made the correct decision to end a self-imposed international exile that saw him miss six matches. There were plenty of positive contributions from the Barcelona star, but his team were found wanting in Madrid.
Argentina miss forward experience
Despite welcoming back Messi, Argentina were without Sergio Aguero, Gonzalo Higuain and Mauro Icardi – all left out of the squad by Scaloni. Taking nothing away from Lautaro Martinez's lethal finish for the Argentina goal, you have to wonder whether one of those more experienced heads would have taken some of the earlier chances he squandered. Paulo Dybala was an unused substitute.
Farinez gives Venezuela platform
Both of Venezuela's goals from open play were taken wonderfully, but the team could be equally thankful to the man between the posts, whose save to keep out Lautaro Martinez's header in the first half was tremendously impressive. There was little he could do to prevent Argentina pulling one back.
Argentina will look to get back on track when they visit Morocco for a friendly on Tuesday, while Venezuela are in action against Catalonia on Monday in a clash not sanctioned by FIFA.