Third one-day international, St Kitts:
West Indies 179-9 (46.3 ovs) bt England 176-9 (50 ovs) by one wicket
Colvin recorded her second best one-day bowling figures
England's women were narrowly beaten by West Indies, who clinched the one-day series with a one-wicket victory in the deciding third match in St Kitts.
World champions England made 176-9 as Lydia Greenway scored 63 despite being hampered by a thigh injury before she was run out in the last over.
The Windies were struggling at 2-2 but Stafanie Taylor (43) steadied the ship.
Left-arm spinner Holly Colvin took 4-24 but the Caribbean side's last pair put on 17 to win with 21 balls to spare.
England's new-ball pair Katherine Brunt and Isa Guha both struck early, and after Taylor was bowled by England captain Charlotte Edwards, West Indies were 66-6 after a flurry of wickets.
Player of the match Stacy-Ann King and Deandra Dottin added 87 for the seventh wicket before the returning Colvin snared King for 40 with 24 still needed for victory.
But teenager Dottin's 41 saw her side home as, with overs to spare, West Indies' tail-enders were patient enough to knock off the remaining runs.
Earlier, left-hander Greenway - still troubled by the thigh injury which ruled her out of the second one-dayer - hit eight fours in her 84-ball innings after coming in with the score 68-4.
She enjoyed important stands with Caroline Atkins (13) and Tamsin Beaumont (19 not out) to help England post a competitive total, while seamer Pamela Lavine took 3-29.
"I was disappointed with the result but I don't want to make excuses for our performance or take anything away from the our opponents," said Edwards.
"They played well and there are some really good players in their team. We'll make sure we come back fighting."
Coach Mark Lane added: "Naturally I'm disappointed to have lost the series but I have got a very good team of girls who are working hard on all areas.
"Lydia had a superb knock and showed tremendous guts to play through her injury, Holly bowled well and we just lost our way towards the end."
The defeat is England's first in a one-day series since losing at home to New Zealand in the summer of 2007.
But they have an early chance of revenge against West Indies, with the two sides now meeting in three Twenty20 internationals, the first starting on Monday.