He lost the 1984 presidential election as the Democratic nominee in forty-nine states (except his home state of Minnesota, and D.C. which - of course - isn't a state), and then he lost the Senate election in Minnesota in 2002 as the Democratic-Farmer-Labor Party nominee (replacing Senator Paul Wellstone after he died in a plane crash).
Is he the only person to have done this? Or was there another major party nominee in history (perhaps when the US had fewer states)?
I believe he is the only one under those criteria, here are some others who come close.
George McGovern only won in Massachusetts and DC in 1972, however he never ran for office otherwise in either. He did lose twice in Senate runs in his home state of South Dakota (once early in his career in 1960, and then in 1980 after 3 terms).
Alfred Landon won Maine and Vermont in 1936 against FDR, but prior to that had served as governor of Kansas (winning two terms). After his defeat by Roosevelt, he served out his second term and never ran for elected office again.
George B. McClellan won Deleware, Kentucky and New Jersey against Abraham Lincoln as the Democratic nominee in 1864. To the surprise of many (not least himself) he eventually became governor of NJ much later in life.
Special mention to Charles Pinckney, who became the first major party (Federalist) nominee to lose his home state (South Carolina) in 1804.
I've disregarded 1784, 1788 and 1820 as they were effectively unopposed elections.