Hillary Clinton won the Florida Democratic primary, an event that drew no campaigning by any of the presidential rivals.
Florida was stripped of its nominating delegates for violating party rules and bringing forward the date of its vote.
Clinton, however, held two closed fundraisers in recent days and scheduled a rally with supporters after polls closed in Florida.
McCain, an Arizona senator, was hoping for his first primary win in a state that allowed only Republicans to vote.
His previous victories, in New Hampshire and South Carolina this year, came in elections open to independents.
He had campaigned with the support of the state's two top Republican elected officials, Charlie Crist, the governor, and Senator Mel Martinez.
Romney, the former governor of Massachusetts, has so far won only in the Michigan primary, the state where he grew up, although he also won caucuses in Wyoming and Nevada.
Why Democrats skipped Florida
Democratic candidates did not campaign in Florida after the party stripped the state of its 185 delegates as punishment for holding its primary ahead of "Super Tuesday" on February 5.
The same thing happened in Michigan, which was stripped of its 156 delegates.
The Florida race was won by Hillary Clinton but the votes have no official bearing on the selection of the party's nominee in August.
Clinton's team is pushing for the Florida and Michigan votes to count.
An exit poll showed the economy was the top issue for nearly half the Republican electorate.
Terrorism, the war in Iraq and immigration followed in importance, according to the poll.
In a state that is a magnet for retirees, more than one-third of the voters were 65 or older.
According to the poll, McCain benefited from the support of Latinos and older voters.
Romney got support from voters opposed to abortion and opposed to making it easier for illegal immigrants to get US citizenship.