The bodybuilding team of eight men and one woman were set to fly home from the Vietnamese capital Hanoi just as they should have been competing for medals.
An official said the Philippines had not provided sufficient evidence that the athletes had done doping tests three weeks in advance.
Lorelei Rose Pedrano Deloria, who should have been competing on Sunday in the mixed pairs, said that she and her team-mates' dreams had been shattered and they were "depressed" as a result.
"We were super-excited about this (the Games). It was an opportunity to represent the country and bring honor to our country," the 29-year-old told AFP at their hotel.
"We weren't able to compete. We weren't even able to step on the stage."
The Filipino bodybuilders said they first learnt of the problem when they arrived in Hanoi on Wednesday, with the team desperately trying to find a way to save their Games.
But Chetan Pathare, a technical delegate for the event, told AFP: "The doping certificate, the clearance certificate, is a must. It clearly mentioned (in an event handbook), and (was) not complied by the Philippines.
"And that is the only reason they were not allowed," he said, adding that Vietnam sports officials had "well informed" all national Olympic committees involved in the Games of the rules.
Despite the setback the bodybuilders are determined to have a crack at the next SEA Games, in 2023 in Cambodia.
"Our preparation for next year's SEA Games... will start when we arrive back in the Philippines," said Jesse Virata Bermudo.