What's a word for being disappointed in a surprising manner?

I know the question a bit vague but that's the only plausible inquiry I could come up with. I wanted to what word can be used if someone is disappointed and they are surprised as to the fact that to start with they never thought the subject matter or the person which disappointed them would have such an effect on them.

"chagrin" comes to mind.

distress of mind caused by humiliation, disappointment, or failure. MW

• "To my chagrin, the party ended just as I arrived."
• "She had gained five pounds over the winter, much to her chagrin."
• "He decided to get a tattoo, to the chagrin of his parents."

You might consider shocked, which can be used to mean "surprised and upset".

You are disillusioned [with someone / something].

From Oxford Dictionaries Online:

disillusioned adjective

disappointed in someone or something that one discovers to be less good than one had believed.

"Aghast" is to be struck by terror or amazement, to be shocked (Merriam-Webster). It is not idiomatic and so would serve for any generic surprise, though it might be slightly more than disappointed.

Charlie was aghast at the amount of saturated fat in his chocolates.