If possible, see if you can find out why you were rejected and correct the problem. Your real estate agent may have other lenders for you to contact.
However, if the rejection is due to a tiny down payment, lack of sufficient income, excessive debts, or anything that indicates you are financially overextended, you may need to stop house hunting and concentrate on fixing the problem. It may take a year or two for you to reduce your current debts and save for a larger down payment. Of course, another option would be to look for a less expensive house.