Gillum, who was trying to become the state's first black governor, told a crowd gathered on the campus of Florida A&M University, "I sincerely regret I couldn't bring it home for you".
The hotly contested race in Georgia, where Democrat Stacey Abrams was seeking to become the first black woman to be elected governor of a US state, remained too close to call early on Wednesday.
Florida's more than 13 million registered voters are choosing a new governor and voting on a pivotal U.S. Senate contest.
"I want to encourage you not to give up", Gillum, the 39-year-old mayor of Tallahassee, told supporters at his election night party, where small groups of people embraced, tears streaming down their faces. Neither Georgia nor Florida has elected a Democratic governor in 20 years.
But the Republican defended himself and his supporters against the racist label, while slamming his Democratic opponent for backing a major tax-hike proposal and wanting to expand government programs, including health care.
Gillum talked about how he tried to keep his campaign positive despite attacks from former U.S. Rep. Ron DeSantis and President Donald Trump.
In one final twist, DeSantis, who throughout the campaign portrayed Tallahassee as crime-ridden and unsafe, will now be moving their to do his new job - right alongside the city's mayor, (still) Andrew Gillum.
Republicans, meanwhile, were eyeing potential pickups in CT and OR, both traditionally Democratic states.
"We'll worry about history later but today, we're working to win".
DeSantis, 40, was considered an underdog before Trump tweeted his support for DeSantis in December, a month before he got into the race.
In both the gubernatorial race and the Senate contest, voters concerned with health care and gun policy broke heavily for Democrats Gillum and Nelson. DeSantis once aired an ad showing him and his daughter building a wall along the U.S. -Mexico border while his young son wore a "Make America Great Again" onesie.
DeSantis, meanwhile, was plagued by accusations of racism following remarks he made the day after his primary victory in August.
Even so, there have been tremendous wins by black people across the country.
Despite all the hype surrounding Gillum, he failed to gain as many votes as his senatorial counterpart, incumbent Democrat Sen. With 99% reporting, Nelson earned 4,039,498 votes - over 42,000 more votes than Gillum.