The 28-year-old singer got engaged to the 'Young and the Restless' star in July after just four months of dating, but the pair ended their romance last week.
Now, Demi has dropped the emotional ballad, 'Still Have Me', on which she admits she's "a mess" and would "rather be alone".
She sings: "I'm a mess and I'm still broken, but I'm finding my way back.
"It feels like someone's stolen all the light I ever had ... I don't have much but at least I still have me."
And seemingly referencing her split from Max, she belts: "Everything around me shattered/All the highs are now just lows/But it doesn't even matter/'Cause I'd rather be alone."
Demi teased the song on social media, writing on Twitter that: "Music is always there for me..."
The 'Confident' singer reportedly broke off her engagement after discovering her ex-fiance's "intentions weren't genuine".
Sources have said Demi felt Max had become "wrapped up" in fame after dating her made his public profile "shoot up".
One insider said: "It was very hurtful to Demi when she realized that Max's intentions weren't genuine. Breaking off the engagement was not an easy decision."
Whilst another added: "Demi and Max were basically together 24/7 for months. They lived in a bubble with zero stress and everything was just fun, [but] Max shot up in fame, and it's been hard. He got wrapped up in [Hollywood]."
The 'OK Not To Be OK' hitmaker also reportedly believes she "made a mistake" when it came to accepting Max's proposal.
The source explained to People magazine: "[Demi believed Max was] trying to further his career by using her name behind her back. It was hard for Demi to admit she made a mistake when it came to Max."
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