We study the validity of the large-N equivalence between four-dimensional SU(N) lattice gauge theory and its momentum quenched version--the quenched Eguchi-Kawai (QEK) model. We find that the assumptions needed for the proofs of equivalence do not automatically follow from the quenching prescription. We use weak-coupling arguments to show that large-N equivalence is in fact likely to break down in the QEK model, and that this is due to dynamically generated correlations between different Euclidean components of the gauge fields. We then use Monte Carlo simulations at intermediate couplings with 20{<=}N{<=}200 to provide strong evidence for the presence of these correlations and for the consequent breakdown of reduction. This evidence includes a large discrepancy between the transition coupling of the bulk transition in lattice gauge theories and the coupling at which the QEK model goes through a strongly first-order transition. To accurately measure this discrepancy we adapt the recently introduced Wang-Landau algorithm to gauge theories.