President Barack Obama last month approved the rescue operation to free a number of hostages, including US national Luke Somers, held by Al-Qaeda in Yemen, the White House and the Pentagon said.
"Regrettably, Luke was not present, though hostages of other nationalities were present and were rescued," National Security Council spokesperson Bernadette Meehan said in a statement.
Al-Qaeda in Yemen released a video earlier Thursday threatening to execute the American photojournalist, who was abducted last year in the Yemeni capital.
The details of the operation remained classified but the government decided "to provide accurate information given that it is being widely reported in the public domain," Pentagon press secretary Rear Admiral John Kirby said.
A Yemen defense ministry website had said last week that Al-Qaeda had moved hostages -- including Somers, as well as a Briton and a South African -- days before the rescue operation in southeastern Hadramawt province.
The New York Times earlier reported American special operations forces found eight other hostages in the raid but not Somers.
Raid by Navy SEALs
About two dozen commandos from the US Navy's SEAL special forces, joined by a small number of Yemeni troops, flew by helicopter to a location near the Saudi border for the operation, the Times reported, citing US and Yemeni officials.
The SEAL commandos walked several hundred yards at night to a mountain cave, taking Al-Qaeda militants by surprise, it said.
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The White House vowed to work relentlessly to free Americans taken hostage.
The rescue operation "should serve as another signal to those who would do us harm that the United States will not tolerate the abduction of our people, and will spare no effort to secure the safe return of our citizens and to hold their captors accountable," Meehan said.
She added "our thoughts remain with the Somers family, and with the families and loved ones of every other US citizen being held hostage overseas."
The Al-Qaeda video included a message by Nasser bin Ali Al-Ansi, of Al-Qaeda in the Arabian Peninsula (AQAP), threatening to kill Somers in three days if Washington failed to meet unspecified demands.
US intelligence agencies say AQAP is the most dangerous branch of Al-Qaeda, but it is not known for frequently executing foreign hostages.
The AQAP threat follows the execution of five Western hostages since August by the Islamic State group in control of parts of Syria and Iraq.
Two US reporters, James Foley and Steven Sotloff, American aid worker Peter Kassig, and British aid workers Alan Henning and David Haines were executed.
Yemen has been a crucial ally for Washington in the fight against Al-Qaeda, allowing US forces to bomb the group with drones.
But Washington has been concerned that the weakening of the Yemeni government, which has struggled to counter Shiite Huthi rebels, could undercut its counter-terrorism campaign.
Violence has erupted in Yemen since the Huthi militia, known as Ansarullah, overran Sanaa in September.