The two bond auctions saw both governments forced to pay higher yields to attract investors and Italy scaled back the amount on offer.
Analysts say it is an "ominous" warning that debt raising is likely to become even tougher in the coming months if problems are emerging so soon after government announcements to increase issuance. A record of more than €1,000bn ($1,290bn) of debt is expected to be issued in Europe next year.
Significantly, the bond auctions were for shorter-dated securities, usually the most sought after.
Roger Brown, global head of rates research at UBS, said: "The UK auction was dire. I do not remember one as bad for shorter-dated bonds. It is an ominous sign of trouble ahead.
"It is surprising to us that the UK Treasury should encounter such weak demand for a four-year gilt in only the second auction since Monday's pre-Budget report, when record levels of issuance were announced."
Giuseppe Maraffino, fixed income strategist at UniCredit, added: "The Italians ran into difficulties because of the lack of liquidity and investors. People are worried about the large amount of supply and the general environment."
Both the UK and Italian governments had to offer an extra 10 basis points compared with similar existing debt to entice investors to sell £3.75bn in four-year bonds and €1.4bn in three-year bonds respectively. The Italians also raised a lower amount than expected because of worries over weak demand.
Analysts emphasise that expectations of interest rate cuts in the UK, Europe and the US are supporting the bond markets and keeping yields historically low. For example, 10-year gilt yields this week dropped below 4 per cent for the first time since records began in 1961.
However, with economies contracting, lower tax receipts and rising benefit payments mean countries could face higher debt servicing costs as overall debt levels rise.
Among European countries, the UK and Italy may face the greatest difficulties because of their large debt programmes. The UK announced plans to raise an extra £37.4bn ($56.5bn) in gilts this year in the PBR.
This takes the overall total to £146.4bn – an all-time high and nearly three times the amount raised in 2007-08. The Debt Management Office forecasts bond issuance remaining high, at an average of £135bn a year, until 2013.
The Italians are forecast to issue up to €220bn in bonds next year, with €100bn in redemptions in the first half of the year – about €20bn higher than usual – putting the government under greater pressure to raise money.
UBS has warned that Italy's large debt burden of 103 per cent to gross domestic product – the highest in the eurozone – is unsustainable, forecasting it will rise to 107 per cent by the end of next year.
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