A 1-0 defeat at the Daknamstadion last week proved to be costly for the Premier League side, who won the second leg on Thursday courtesy of a goal in each half from Brady but were second best for much of the game and missed out on a place in the group stage.
Brady handed Steve Bruce's side a dream start when he gave them an early lead to level the tie on aggregate, but Jordan Remacle deservedly equalised just after half-time to restore the Belgian side's advantage.
Hull were then fortunate to be given a penalty when Denis Odoi was penalised for handball, but appeared to be outside the area, and Brady held his nerve to score from the spot.
The home side had Yannick Sagbo sent off for a foul on Giorgos Galitsios 19 minutes from time as their challenge faded, with the Yorkshire club's maiden European voyage coming to an early end.
Bruce made three changes to the side beaten in Belgium last week, with Curtis Davies, Jake Livermore and Ahmed Elmohamady replacing Harry Maguire, George Boyd and Paul McShane.
Having kept Hull at bay in the first leg, an unchanged Lokeren were behind after only five minutes of the second leg.
And it was a goal that could have been avoided, with Brady on hand to bundle the ball home after Maynor Figueroa's cross was not dealt with by goalkeeper Davino Verhulst.
Hull were living dangerously and Swiss defender Mijat Maric rose highest to meet the resulting corner, but his header was off target.
Bruce's men were fortunate to be in front at the break and they failed to heed the warning as Killian Overmeire tried his luck with a venomous strike that was tipped over the crossbar by Allan McGregor, but Lokeren were not to be denied a minute later.
Scotland keeper McGregor was at fault for the only goal of the game in the first leg, but there was nothing he could do to keep out Remacle's drive from the edge of the penalty area after a corner was not properly cleared.
Lokeren's joy was short-lived, though, as Hull were awarded a penalty 10 minutes into the second half when Romanian referee Ovidiu Hategan pointed to the spot after consulting with a linesman, who adjudged Odoi to have handled Elmohamady's cross in the area.
The visitors felt aggrieved with the decision as they believed Odoi was outside the box and coach Peter Maes was sent to the stands for his protests. Brady sent Verhulst the wrong way with his effort from 12 yards to bring Hull level on aggregate once again.
Nill De Pauw spurned a great chance to make it 3-2 on aggregate, firing straight at McGregor, but Hull's chances of progressing suffered a major blow when Sagbo was shown a straight red card.
Tom Huddlestone had a shot blocked on the line right at the death and the final whistle sounded immediately after to bring their European adventure to a halt.
