That seems like a difficult place to be in. You seem shocked and humiliated by his unwarranted behaviour. The reason could be that he gave you some hints which you probably did not pick up or any arguments where he felt dissatisfied and powerless at the end of the argument or perhaps he just wanted you to be around but not marry you.
Next Steps
A visit to the counselling psychologist could help you to gain a better understanding and make sense of what happened. This could help you to cope and come to terms with his sudden departure and marrying someone else.
Health Tips
Though its tough but sometimes accepting what you get and not fighting with it in itself helps a person to move on. Paying attention to people who are still a part of your life will ensure that those relationships are long lasting, deep and meaningful.