The England international wore a frown to match the rest of his team-mates after the 4-0 third round exit at St Mary's.
"This is as disappointing as I've been," he said. "It hurts but this football and the real test will be how we bounce back."
The defence no doubt missed the might of Dean Richards, out with a knee problem, as the Saints dominated from start to finish.
It was a complete contrast to the Premiership encounter three days earlier when we were the better side despite a 1-0 reverse.
Ledley added: "We played them the other day and we knew what to expect, a hustling, bustling team who get it up to the front men and get onto the second balls.
"We thought we played well here on New Year's Day and wanted the same kind of performance and to put away our chances. Credit to them, they stepped it up a bit and we didn't deal with it."
Ledley King admitted the FA Cup exit at Southampton left him as low as he's been in his short career so far.