Is it possible to undo the last digit entered on my iPhone's calculator?

Yes, there is an easy way to undo the last entry.

All you have to do is swipe the top of the calculator, in either direction. By ‘top’ I mean where the digits appear. This will clear the last digit you entered. If you swipe it again, then it’ll clear the next digit, and so on.

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As a follow up, I agree there is some inconsistency here. I also agree with some of the comments below. Why it is I can shake my iPhone to undo something in other apps, but can’t do the same with the Calculator app, is beyond me. That said, I actually don’t like the whole shake function for undo. I’d much rather prefer a hard press on the screen (or some other input method) to be given the choice to undo. Basically I think it should be one of the options available in the same list as cut, cop, paste etc. If you happen to agree, you can submit feedback to Apple.