With scores locked at 1-1 after extra-time, Harry Souttar blasted Australia's opening penalty into the stands and while Jackson Irvine and Awer Mabil both converted, Herrington, 18, hit the bar with the fourth.
Maty Ryan, swapped in for Patrick Beach for the shootout, couldn't save any of Egypt's four spot-kicks and Australia lost 4-2.
Undoubtedly there will be questions over why Herrington was fourth.
But Herrington was composed all tournament and said he'd been confident after scoring penalties at training.
"If he scored, you're probably sitting there saying, 'how wonderful it is that an 18-year-old took a penalty and scored?," coach Tony Popovic said.
"He has played the last two games as an 18-year-old, so if I trust him to play in a game that we needed to get a result against Paraguay, in a game where elimination was on the line, what's the difference between the two?"
Former Sweden star Zlatan Ibrahimovic reached out to Herrington, who appears destined for huge things.
"You're 18 years old, you're young, this is just the beginning of your career," Ibrahimovic said on Fox Sports.
"You stepping up there, you show a lot of courage. Not everybody will do that. My friend, you're the best. Don't listen to the rest.
"Penalty is lottery. It's not easy to step up there, to shoot that penalty, and it's a moment of seconds. Either it goes well or it goes not.
"But listen, Herrington, if you want to reach out, I'm here."
The 18-year-old smiled when told about the support.
"I'm probably the first one to be knocking myself down and being hard on myself," Herrington said.
"To hear that from a legend of the game means a lot.
"I'll just keep working hard and hopefully another moment like that comes for me."
Midfielder Jackson Irvine said players needed to let Herrington know they were there for him.
"For him to step up in that moment, it takes incredible steel," Irvine said.
Irvine confirmed there was a set list of penalty takers after practice shootouts in training.
"It was 1,2, 3, 4, 5, 6, 7. They're your ones, go and win it," he said.
Defender Alessandro Circati was fifth, while striker Mohamed Toure was sixth.
Veterans Aziz Behich and Awer Mabil both told Herrington to keep his head up, while Nestory Irankunda was "proud" of his teammate.
Souttar was "gutted" after his penalty miss but lauded his young teammate, who marked superstar Mohamed Salah for 120 minutes.
"For him to go through that at this age is just going to let him grow even stronger," Souttar said.
"The guy's been unbelievable. He's marking one of the best wingers we've seen in the last 10 years. He was incredible.
"I've got no worries that that is going to affect him in any way. He's just going to grow from it and certainly get stronger."
Colorado Rapids defender Herrington said his teammates' support gave him confidence.
"I know my team have my back and it's just one of those moments that didn't go our way," he said.
"We'll just keep working and get back ready for the next World Cup."
