The Rangers stars were late substitutes on the synthetic surface in the Lokomotiv Stadium but the Russians went on to claim a 2-0 win.
Northern Ireland were trailing when Little was introduced to the action but he hardly had time to settle when a controversial penalty was awarded against Michael O’Neill’s side.
Then Shiels was thrown on to try to salvage something but the home side made it a first win for Fabio Capello.
Former Rangers Roy Carroll, Steve Davis and Kyle Lafferty played the full 90 minutes.
Northern Ireland are now looking for three points when they meet Luxembourg at Windsor Park on Tuesday night.
There was also disappointment for Andy Mitchell and Chris Hegarty as Northern Ireland’s under-21s were beaten 3-1 at The Oval by Macedonia.
Mitchell played the whole game while Hegarty was on the bench.
On Thursday there was better news for Ross Perry as Scotland’s under-21s defeated Luxembourg 3-0.