An own goal saw West Bromwich Albion take all the points in an evenly matched game which saw former Baggie Robert Earnshaw miss a crucial penalty.Forest went behind in the second half after Chris Cohen put Jonathan Greening's cross into his own net.
Earnshaw squandered the chance to level when he hit his penalty wide despite sending Scott Carson the wrong way.
Dexter Blackstock almost delivered the equaliser late on but his 25-yard strike was narrowly wide.
Nottingham Forest manager Billy Davies: "It was just one of those days. There are plenty of positives to take from the game. I'm disappointed to lose but when luck goes against you, what can you do?
"If we play like that in the future I'm sure that nine times out of 10 we'll win by many goals.
"I'm very proud of the performance and I am pleased with the performance. Attitude was first class. Organisation was excellent. Look at the pressure we created and look at the fitness of our players.
"I think they (Albion) had one shot at goal that hit the post from a free-kick and they've scored a lucky goal.
"We've had a very good goal disallowed having watched the replay because there was no infringement. We've created chance after chance and we've put a very good team and a very big club to the sword.
"I'm sure they'll be leaving here thanking their lucky stars for three points."
West Brom boss Roberto Di Matteo: "I think the only bit of luck was with the missed penalty. Apart from that I thought we did really well.
"Considering we were playing away against a very good Forest team, we are coming away with a clean sheet and we are coming away with three points.
"I would have liked to kill the game off - we had one or two chances to do that and maybe could've done a bit better - but we defended really well.
"Improving our defending is a process. It's going to take a little while. It won't be a week or two weeks or a game, it's a slow process over the season and it's good to get off to a good start.
"We've worked on the defence. It was one of the points from last year where we struggled.
"You expect them (Forest) to create a chance or two, but all in all I look at the whole game and I think we controlled them quite well and took our chance to win the game."