LATICS paid the penalty for some woeful finishing by crashing out of the Capital One Cup in dramatic fashion on a miserable night.
After emphatic victories at Nottingham Forest and West Ham to get to this stage, Latics could not have hand-picked a more inviting passage to the last eight.
But they paid the penalty for a host of missed opportunities, with Mauro Boselli and Jordi Gomez the main culprits.
And Latics bowed out via the ignominy of spot-kicks with substitute Shaun Maloney and Gomez - their two most reliable penalty-takers - fluffing their lines.
Roberto Martinez had raised more than a few eyebrows with his team selection, handing full debuts to Danny Redmond and Fraser Fyvie, with Ronnie Stam and Adrian Lopez also in for rare starts.
But his new-look Latics side created chance after chance after chance, only to pay a heavy price for their failure to beat Matt Duke in the Bradford goal.
The home side were at it from the off, with the League Two outfit struggling to get a touch of the ball in the opening exchanges.
Callum McManaman set about on a weaving run which took him into the box, only to be crowded out by the defence.
Stam also did well to win himself a yard down the right, but his cross was poor and easily collected by Duke.
Boselli has been something of a talisman in this competition, and he should have notched his fourth goal in just his third start of the campaign.
Gomez supplied the opportunity with a lovely through ball, but Boselli waited far too long to pull the trigger and Duke was able to make the save.
Redmond then showed great initiative to collect a short corner in his strike on the far side, and his deep cross was flicked back by Boselli only for the defence to clear.
Fyvie would have been looking at this as a great opportunity to stake his claim for a Premier League, and he tried his luck with a couple of early shots.
The first was poor, but the second one was on target and required a good block from a Bantams defender.
Stam and Boselli then combined nicely to play in Gomez, who couldn’t get over the ball quickly enough and volleyed a couple of yards over.
Having held on for dear life, the Bantams - cheered on by a sell-out away following of over 4,000 - started to get a hold of the ball and instantly created a threat.
Zavon Hines fired over the top on 25 minutes, before James Hanson went to ground in installments inside the box, with referee Roger East not impressed.
Nahki Wells then produced a superb turn in midfield to wriggle free of his marker, but failed to beat the first man with the cross.
As half-time approached, Bradford full-back Stephen Darby then went to ground inside the 18-yard box, with East again waving play on.
David Jones picked up the first booking of the game for a foul on Nathan Doyle, before Latics almost took the lead with the last kick of the first period.
Watson was the architect with a sublime through ball to find Gomez, who showed great technique to allow the ball to travel over his head before attempting the volley.
The connection was perfect, and it took a great save from Duke to tip the ball over the crossbar, with the half-time whistle coming before the corner kick could be taken.
Carl McHugh followed Jones into the book for a foul on Gomez, before the Bantams made the first switch by throwing on Gary Jones for Garry Thompson.
Latics were almost in again just before the hour mark when Stam’s cross was flicked back by Boselli only for Gomez to miss his kick
Another cross from Stam then bypassed the front post and Redmond came flying in at the far post, but couldn’t keep his header down.
Hines was looking very sharp on the break for Bradford, and he was blocked off in unceremonious fashion by Lopez at the expense of a yellow.
Latics couldn’t get near him the next time he got the ball, however, with Hines running fully 70 yards down the field and away from Watson to find himself one-on-one with Ali Al Habsi.
Fortunately the goalkeeper stood strong and pulled off a tremendous save - his first real touch - to keep Latics on level terms.
Watson showed his qualities at the other end by advancing to within 35 yards of the visitors’ goal and stinging the fingertips of Duke.
Martinez rung the changes with 13 minutes left, sending on Maloney and Jean Beausejour for McManaman and Redmond, who had certainly not disgraced himself on his big night.
Maloney was welcomed into the game with a late challenge from Darby that deservedly saw him yellow-carded, while Fyvie should have done better when he raced through the left channel only to fire wide.
Boselli squandered another decent opportunity with seven minutes left, before Beausejour became the latest name into the book for a foul on Hines.
Latics finished the stronger but were unable to force Duke into further work - although they came out for extra time with all guns blazing.
Boselli immediately found himself clear, but saw his shot smothered by Duke, with Beausejour seeing a goalbound effort deflected inches over the bar by a City head.
The Argentine then had an even better opportunity - the best of the night - midway through the first period of extra time, after a nice ball from Gomez.
But the finish was disappointing and didn’t even force Duke to make a save.
That was about it for the first period of extra time as the visitors seemed to be settling for penalties.
But they nearly had the rug pulled out from under them in the opening seconds of the second period when Gomez had a clear run at goal, only to slip the ball agonisingly wide of the far post.
Latics dominated the rest of the game in terms of possession and territory but couldn’t muster a breakthrough.
And City had a great chance to nick it at the death only for an unmarked McArdle to head over from eight yards.
When spot-kicks arrived, there were successful strikes from Doyle, Jones, Thompson, Watson and Darby to give City a 3-2 lead.
Maloney - Wigan’s first-choice penalty-taker - then made a horrible connection and scooped the ball well over the bar to give the visitors the advantage.
Connell cranked up the pressure by making it 4-2, before Gomez saw his effort well saved by Duke - to the delight of the away fans at the other end of the ground.
Latics: Al Habsi; Ramis, Watson, Lopez; Stam, Fyvie, Jones, Redmond; Gomez, McManaman, Boselli.
Subs: Pollitt, Golobart, Kiernan, Beausejour (for Redmond, 77), Maloney (for McManaman, 77), Kone, Orsula.
Bradford: Duke; Darby, McArdle, McHugh, Meredith; Hines, Doyle, Thompson, Wells, Atkinson, Hanson.
Subs: McLaughlin, Connell (for Wells, 65), Jones (for Thompson, 57), Baker (for Hines, 101), Brown, Bass, Swain.
Referee: Roger East