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.
A bid to stop a Cardiff man from being deported to Afghanistan has failed.