And either side of a Mark Noble penalty, Johan Elmander added two late goals to hand Bolton Wanderers a fortunate victory.
Related ArticlesWest Ham United v Bolton Wanderers: match previewWest Ham rue Bellamy missLiverpool reignite interest in ParkerWest Ham set deadline on Olympic plansSport on televisionTransfer TalkThe defeat - the second time in a week that West Ham have conceded three goals - was harsh on Avram Grant, the new West Ham manager, whose side deserved more from a game they dominated.
Kieron Dyer was a surprise inclusion for West Ham, with the England winger making his first appearance since March.
Dyer, 31, was making only his eighth League start in three years for West Ham following a succession of injuries that have threatened his career.
Grant also gave first Premier League starts to Pablo Barrera and Frederic Piquionne.
Bolton's Owen Coyle kept faith with the side that held Fulham to a goalless draw, with former Manchester City midfielder Martin Petrov continuing for the visitors.
Petrov was soon involved, capitalising on a careless mistake by Danny Gabbidon, before setting up Elmander. But the Swede stabbed the ball just wide of the left post.
Bolton, who had beaten West Ham in their previous six meetings, were in charge and when Greitar Steinsson crossed from the right, Elmander saw another attempt blocked.
Barrera responded with a clever run from the right before the Mexican's shot was deflected into the arms of Jussi Jaaskelainen.
Now West Ham were taking control and when Scott Parker fed Barrera he impressed again with a scooped shot just off target. And again, mid-way through the first half, the increasingly impressive Mexican stabbed another effort just wide.
And went Zat Knight made a poor clearance, Dyer was offered the chance to mark his return with a goal, only to send his effort just wide.
West Ham were offered the chance to turn their dominance into a goal but again it was wasted. Cole had been pushed by Paul Robinson and the striker took the kick, but the 33rd minute effort was struck weakly and Jaaskelainen dived to his right to save easily. It was the Hammers' third successive miss from the penalty spot in the Premier League.
Minutes later Cole was thwarted again, his shot saved well by the Finnish goalkeeper.
And just before half time, Dyer was denied when Jaaskelainen pushed his clever shot onto the outside of the right post - before Cole rolled the ball across an open goal.
And inside the opening three minutes of the second half Bolton took the lead when Matthew Upson, under pressure from Davies, headed into his own goal.
West Ham felt Upson was fouled in the build-up and, indeed, he received treatment for a kick to what appeared to be a broken nose before being replaced by Winston Reid.
The New Zealander soon made an impact, latching onto Mark Noble's free-kick, but sent it straight into Jaaskelainen's arms.
West Ham's misery was complete when, in the 69th minute, Lee Chung-Young's cross was converted at the near post by Elmander.
However, with 12 minutes remaining West Ham won another penalty, with Robinson clipping Parker's ankles, and Noble converted.
But Elmander responded with Bolton's third with six minutes remaining.