AFP Sport looks at those five losses:
1992: Mission impossible
South Africa, playing in their first World Cup following the end of the apartheid era, restricted England to 252-6 in 45 overs in their semi-final in Sydney before the rain washed away their dreams - and there was nothing they could do about it.
After a 12-minute rain delay, South Africa's target was adjusted from 22 runs off 13 balls to an impossible 22 off one.
"It was and still remains a bit of a con," said South Africa batsman Brian McMillan.
1999: Choke's on us
Set a target of 214 to defeat Australia in the semi-final at Edgbaston, the Proteas needed nine runs off the last over.
Lance Klusener smashed fours off the first two balls to tie the scores.
However, disaster struck on the fourth ball of Damien Fleming's over when Klusener set off for a single which left Allan Donald stranded and run out.
Australia made the final courtesy of their better finish in the group stage.
"We will never have the chokers tag off our back until we win an official ICC event," said Donald.
"Until that happens, we will never be forgotten for what happened in 1999."
2007: Caribbean collapse
Semi-final number three came in the Caribbean at picturesque Gros Islet at St Lucia and South Africa's opponents were again Australia.
Like Thursday, the Proteas won the toss and chose to bat but lost their top four batsmen for 27 including skipper Graeme Smith for two.
South Africa's innings folded for 149 and they went on to lose the match by seven wickets.
2015: Agony in Eden
Another semi-final and more rain. This time the venue was Eden Park in Auckland where South Africa made 281-5 in 43 overs.
New Zealand were handed a revised target of 298 and Grant Elliott made an undefeated 84 while Brendon McCullum and Corey Anderson hit fifties.
The Black Caps came through by four wickets with just one ball remaining when South African-born Elliott hit Dale Steyn for six.
South Africa were left to rue a series of costly errors in the field which opened the door for the Kiwis.
"It is hurting. It is going to take a while to recover," admitted South Africa skipper AB de Villiers.
2023: Head's a heartbreaker
Australia beat South Africa again, this time by three wickets in a tense chase of 213 in Kolkata to set up a final against India.
Australia wobbled after Travis Head's 62 but Steve Smith (30) and Josh Inglis (28) helped the five-time champions reach their target with 16 balls to spare and make their eighth final.
For South Africa, David Miller's 101 was not enough after the Proteas had slipped to 24-4.
"Australia were ruthless and exploited every bit of advantage, and really put us under pressure. From 24-4, it was always going to be hard to get a competitive total," admitted captain Temba Bavuma.