Title: Lost Domain Generalization Is a Natural Consequence of Lack of Training Domains. Abstract: We show a hardness result for the number of training domains required to achieve a small population error in the test domain. Although many domain generalization algorithms have been developed under various domain-invariance assumptions, there is significant evidence to indicate that out-of-distribution (o.o.d.) test accuracy of state-of-the-art o.o.d. algorithms is on par with empirical risk minimization and random guess on the domain generalization benchmarks such as DomainBed. In this work, we analyze its cause and attribute the lost domain generalization to the lack of training domains. We show that, in a minimax lower bound fashion, \emph{any} learning algorithm that outputs a classifier with an $\epsilon$ excess error to the Bayes optimal classifier requires at least $\mathrm{poly}(1/\epsilon)$ number of training domains, even though the number of training data sampled from each training domain is large. Experiments on the DomainBed benchmark demonstrate that o.o.d. test accuracy is monotonically increasing as the number of training domains increases. Our result sheds light on the intrinsic hardness of domain generalization and suggests benchmarking o.o.d. algorithms by the datasets with a sufficient number of training domains.