Jeannie Mai says she was blindsided by Jeezy's divorce filing -- and claims she heard about their split through the media ... this, of course, after she recently accused him of infidelity.

The actress appeared on the 'Jennifer Hudson Show' Monday, and right off the bat ... she was asked how things were going in her personal life. Naturally, Jen was referring to her divorce with Jeezy -- which has been making headlines lately.

Check out her response for yourself ... JM says that she's doing better now, but notes she was "gutted" when she first heard Jeezy wanted to end their marriage -- something she claims she first caught wind of through press reports.

With that said ... Jeannie says her focus now is on being there for her young daughter, Monaco, whom she shares with Jeezy ... and who they welcomed into the world last year.

Jeannie also says that although she's been the most broken this year she ever has been ... she says that, in the same breath, she's found herself to be incredibly strong as well.

No word on what she claimed in her court docs last week -- namely, that Jeezy had apparently broken their prenup by allegedly cheating on her ... something Jeezy has since denied through his reps.

There's been speculation Jeannie herself may have cheated too -- but we're told she's completely denying that. Funny enough, Jeezy himself has recently addressed the topic of infidelity ... telling Nia Long that real dudes don't cheat on their girl.