Break-ups are hard!! Sometimes it doesn't matter if you were the one to say no in the end, it's just the fact that whatever you had, all the time and emotion you shared, seems like it's for naught. Depending on how involved you were with the other person, sometimes it helps to realize that even if you had to end things/things had to end, it doesn't negate what you had. Your (now past) relationship still means something, and hopefully you gained something from the experience. Also, you have to be cognizant of the fact that it all happened for a reason. You may be able to figure some of that reason at some point later down the line, but you'll never know the full cheshbon. It's one of those things that you just have to realize that Hashem has your ultimate best in mind. It's the only way to live your life. You have to know that G-d has your back.
It's easy and natural to get really down about it, and you should let yourself be okay with that feeling. You're human, and you have emotions for a reason. Don't fight it or feel guilty about it. It could make things worse if you bottle it up and/or numb yourself. That being said, you don't want to stay in a funk, because that's not healthy or helpful either. But, give yourself time. We sometimes want to stay down when we're down, but there's really no use staying on the ground. You have to get up, brush yourself off, and come up swinging eventually. Tell yourself that you're on to bigger and better things.
Distractions help a lot; pick up a hobby, get back into something you haven't had time for in awhile... Talking about things helps too. Let out all your emotions. Don't feel stupid to let yourself be mad, sad, disappointed, annoyed, etc. Don't over-analyze your relationship though, that could be detrimental. You'll get stuck in the past; you need him out of your head. Try not to think about him so much. If you're having difficulty with that, you could try "thought stopping" exercises. (PM if you want details on those.) They really work. Get rid of everything that reminds you of him. It's painful, but it hurts more in the long run to hold onto all of it.
Finally, time is pain's greatest healer. Give yourself time. The hurt/longing/negative emotions will fade. Depending on how serious/intense your relationship/break-up was, don't jump into another relationship right away. If it wasn't super intense, it could help to get right back on the horse if possible. But, keep in mind that rebounds just make things a whole lot worse.
Life's not meant to be easy. What doesn't kill you makes you stronger.