Disappointment or anger, especially when caused by a failure or mistake. (Cambridge Dictionary)
A feeling of vexation, marked by disappointment or humiliation. (Dictionary.com)
Annoyance or distress at having failed or been humiliated. (Oxford Dictionaries)
Feel distressed or humiliated. (Oxford Dictionaries)
Disquietude or distress of mind caused by humiliation, disappointment, or failure. (Merriam – Webster)
Chagrin is a feeling of disappointment, upset, or annoyance, perhaps because of your own failure. (Collins Dictionary)
Much to your chagrin: A memoir of embarrassment.
Disappointment vs chagrin – what is the difference?