Dundee United rejected Boro's renewed offer for Conway, who had indicated a desire to move to the Riverside earlier in the summer.
The Teessiders also missed out on another long-term targets as defender Craig Dawson joined West Brom in a £600,000 deal, only to be then immediately loan him back to League One Rochdale for the remainder of the season.
On a quiet deadline day for Boro, the only deals saw Andrew Taylor, Jonathan Grounds, Didier Digard and Mido leaving on loan.
Taylor has joined Championship side Watford until January, while Grounds heads to Hibernian on a five-month loan.
Digard has rejoined Nice after spending last season with the French Ligue One side, while Mido's season-long loan at Ajax will be confirmed this morning once international clearance comes through.
With his contract at the Riverside due to expire next summer, yesterday's agreement effectively means Mido's Boro career is at end three years and 32 unremarkable appearances after he made a £6m move from Tottenham.
The days of the Teessiders spending that kind of money are long gone, as underlined by their failure to strike a deal for Conway.
Boro resubmitted their original offer of around £600,000 yesterday morning, but Dundee United officials continued to hold out for a minimum figure of £800,000.
Neither party was willing to budge and, as a result, Conway will remain at Tannadice.
Strachan had been pursuing the right midfielder in an attempt to add some muchneeded natural width to a squad that is short of wingers.
His failure to seal a deal means he will have to rely on Andy Halliday and Tarmo Kink, or utilise the loan market when the window for emergency Football League loans opens next week.
The Teessiders offered £400,000 for Dawson at the start of the summer, but despite the player submitting two transfer requests in an attempt to push through a move to the Riverside, Rochdale continued to demand a much larger fee.
West Brom failed to match their asking price, but the Premier League club's willingness to loan the 20-year-old back to Spotland enabled them to reach an agreement.
An Andy Halliday goal was insufficient to prevent Middlesbrough's reserves slipping to a 3-1 defeat at home to Scunthorpe yesterday afternoon.
Halliday broke the deadlock with a neat finish shortly after the half-hour mark, but a Boro side containing Marvin Emnes, Lee Miller and Joe Bennett were unable to press home their advantage.
Bobby Grant and Trent Mc- Clenehan scored for Scunthorpe in the closing stages of the first half, with Matthew Godden adding a third after the interval.
Middlesbrough: Ripley; Oliver, Atkinson (Roushias 68), Weldon, Bennett; Halliday, Smallwood, Dolan (Gibson 46), Emnes; Miller, Gray (Park 70).
Source: Northern Echo
Source: Northern Echo