By Caroline Stauffer

RIO DE JANEIRO (Reuters) - Modern pentathlon, the most diverse sport in the Olympic Games, concluded with a surprise in the final phase of the women's competition but with a leader from beginning to end in the men's on Saturday.

Chloe Esposito, 24, became the first Australian to win the women's Olympic title in the sport on Friday, setting a Games record of 1,372 points despite starting the final running and shooting phase in seventh place.

"I'm the first person ever in Australia to win a medal in pentathlon, and I can't describe it," she told reporters.

"It's been a tough road and especially this year, I had a few injuries."

Russia's Aleksander Lesun, however, started the competition by setting an Olympic record in the fencing phase and held his lead to take gold, making up for a disappointing fourth-place finish in London four years ago.

"I've set records in fencing before - after that I was just doing my job," said the 28-year-old Lesun, who enjoyed a nine-second lead going into the running and shooting phase.

The modern pentathlon, inspired by the Ancient Olympics and based on the training of cavalry soldiers, is exhausting.

In one day, athletes compete a 200-metre freestyle swim, ride a show jumping course on a horse they have never ridden before and finish with a cross-country run mixed in with shooting targets with laser pistols.

The sport is also unpredictable. Defending women's gold medalist Laura Asadauskaite of Lithuania was eliminated during the riding round, dashing her goal of becoming the first woman to win more than one Olympic gold medal in the individual modern pentathlon.

"It's not that easy to train for pentathlon in the Ukraine, it's not that easy to train for pentathlon anywhere," said Ukrainian silver medalist and reigning world champion Pavlo Tymoshchenko, who jumped from eighth to finish second after the final shooting and running event.

Several riders in the men's competition fell off or had horses refuse to jump fences in the show jumping round on a rainy evening.

The sport, forced to fight to remain in the Olympics in recent years, underwent revision in Rio. It included a fencing bonus round where pentathletes could score extra points in one-on-one bouts.

The modern pentathlon was a family affair for many of the 72 competitors, including 36 men and 36 women. Esposito's father Daniel coached her and competed at the 1984 Olympics.

Mexico's Uscanga Hernandez took bronze in the men's event.

(Editing by Ed Osmond)