Many species of animals have become extinct, but have any of them been domesticated ones?

Many species of donkeys have disappeared, in particular the onager. By the time they went extinct there were no domesticated ones left, but there is evidence that domesticated onangers played a role in ancient Mesopotamia around 4000 BCE.
A dog breed isn't a species per se (all domesticated dogs are canis lupus familiaris, which is why cross-breeding is easy, they don't mule out), but the English White Terrier no longer exists. It was the base breed from which Boston Terriers were bred, but the English White died out.

The Dodo.  It became extinct in the wild so it moved into politics (and they have thrived there for centuries).