Has it been wet where you are? Very damp, mild weather when peonies are just starting to emerge can be an ideal situaton for the development of a couple of rather devasting fungal problems, both of which can result in new shoots wilting off.

I would not hesitate a second to remove the wilted shoot!! And I would pay very close attention to how the plant behaves going forward. This is not a situation that you can safely ignore.

I pruned the sad looking stem off and upon closer inspection it definitely looks diseased.

Gardengal, up until about a week and a half ago it was REALLY rainy and mild. I picked up some Serenade disease control so I think I'll give the plants a spray. What fungal problems do you think I should keep an eye out for?

Sarah, that's a great idea! I'll do that, thank you!

Botrytis and Phytophthora would be my primary concerns. Both can be fatal.

Perhaps this can help: Peony Problems

That article is great, thank you! I guess I'll try treating for the fungal issues and see what happens. Hopefully it isn't fatal, but it's not looking promising!

Since you mentioned mud splatters there is another possibility. An animal or human could have brushed it hard enough to damage the stem. You might look for large dog or deer tracks in the immediate area. Every year I have fawn damage of one type or another as they are learning on what to do and what tastes good or nasty.

Maifleur01, That's a really great point, and much more optimistic! Hoping it's something as simple as a curious animal and one bad shoot.

Some peonies are more apt to lose growth to really cold temps as well. If you had a cold snap damage could look like that. If your soil is acidic here's something you might try: https://www.gardengatemagazine.com/newsletter/2011/03/15/peony-botrytis-buster/  if it really is fungal rather than environmental

Liz, that's really interesting! I'm going to test my soil tomorrow. If it's acidic I'll give it a shot! Also, it's been getting into the low 30s at night, do you think that's cold enough to cause damage?

Could simply be frostbite on the effected stems. Trim them off and continue to watch the plant for signs of anything abnormal.

Sorry Whitney, don't get over here often anymore! Cold impacts different peonies in different ways--the vast majority aren't injured by cold unless it gets down into the 20s. Once the buds have formed on most of them though the buds are more apt to be damaged by cold. The only ones that don't seem to be impacted at that point are the very early species peonies.

There is also another peony forum on www.garden.org that is more active if anyone is interested. Also free and also a nice group of avid peony growers! If you don't get a response quickly on one forum try the other; there are also several great peony groups on Facebook as well. Planet Peony is a favorite and we also just started a new one--American Peony Society group. I will warn you, though--it can be fatal to your wallet to see all of the gorgeous pics shared there!