On my first interplanetary mission, I tried to send a probe and relay satellite to Duna, both on the same rocket.
Upon arrival at Duna, I ditched the relay early since I put it in between two stages, and I had forgotten about transferring fuel between stages.
So the relay left Duna's sphere of influence to orbit Kerbol, even if the relay was in Duna's orbit it was too weak to communicate with Kerbin.
The probe however, got into a very elliptic Dunian orbit, but sadly lost connection due to the weak relay.
I called the mission a failure and went to focus on something else, I later saw that the probe got ejected from Duna, due to Ike.
I now give every relay probe its own rocket, and many dishes.