Bashir Naderi, 20, has lived in Wales for 10 years, after his mother paid traffickers to bring him to the UK.
His deportation was temporarily halted by a judge hours before he was due to board the plane in October and a 14,000-signature petition was handed into the Home Office in January.
But girlfriend Nicole Cooper said they are "devastated" his leave to remain in the UK has been refused.
She added their solicitor delivered the news on Wednesday but the couple are still waiting to see the Home Office documents.
The Home Office said it did not comment on individual cases.
"I was in work and my mum rang me at 3pm to say the solicitor had contacted Bash," Miss Cooper told BBC Wales.
"We had a call from the solicitor giving more detail, she was in London. It was that he hadn't been granted leave by the Home Office. We're waiting to see the document she received.
"Bash's solicitor is still fighting this, there are grounds for another appeal."
Mr Naderi fled from Afghanistan at the age of 10 after his father was killed by the Taliban.
He went to school in Cardiff and speaks with a local accent.
"He's not taken it well," added Miss Cooper. "He is devastated and has been upset about the whole thing.
"We genuinely weren't expecting it, we thought we had a good chance."
Among the thousands of people to sign the petition were Welsh singers Charlotte Church and Cerys Matthews, as well as local MP Jo Stevens.

For six months the International Space Station (ISS) will be his home.
The ISS was launched back in 1998 and astronauts have been living on board ever since.
It's an important place to carry out tests and research that will help future space missions to places like the Moon and Mars.
Take a look at the ISS in numbers:

This includes a "development bank" to support small businesses and a promise to bring fast broadband to everyone.
Leader Carwyn Jones said it was "an ambitious plan ... focused on the economy, growth and fairness".
He said the aim was "to build economic growth and security for everyone in Wales".
"Over the last few years the Welsh economy has punched above its weight with high profile inward investments coming through Aston Martin and TVR," Mr Jones said on Tuesday, launching the manifesto at a college in the south Wales valleys.
"Our manifesto today seeks to build on those firm foundations with big and bold new ideas such as a new development bank for Wales and tax cuts for all small businesses to help boost economic growth even further in the years to come."
Details: What is in the Welsh Labour manifesto?
Mr Jones added: "Today is about taking our country forward. We ask the people of Wales to join us once again on that journey."
The focus on the economy comes after he wrote in the Sunday Telegraph there was more he could do to "whip government into shape" in how it helps businesses.
Welsh Labour was left feeling shocked and bruised by 2015's general election result and the party says it's been in listening mode ever since.
It's been all over the country asking people what they want from Labour.
The product of that consultation is this manifesto.
There are plenty of attractive promises, such as increased free childcare, more apprenticeships and an extension of its school-building programme.
But perhaps the more interesting aspect is what's not in the manifesto.
While it commits the party to an M4 relief road, it doesn't give a specific route.
And there's a promise to cut the number of councils, but we're not told how many there will be.
So Labour is keeping its options open on some controversial topics, perhaps with an eye on post-election discussions with other parties.
A bid to stop a Cardiff man from being deported to Afghanistan has failed.
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Major Tim Peake is getting ready to blast into space to complete his first mission.
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Welsh Labour has launched its assembly election manifesto with a "plan for prosperity" the party says will "get the country moving".