The couple - who got engaged in 2009 - were together for 8 years and shocked even their closest friends when they announced their break-up in December.
'The end of last year was horrible,' says Heidi, 28.
'Splitting with Dave was horrible and I'm not over it.
'We're still great friends and I saw him last week... but it's hard.'
Despite her heartache, the Sugababes singer is determined to stay positive.
She says training for the ITV skating show is helping her to get her life back on track.
'Dancing On Ice has got me through it. It's given me a new lease of life,' Heidi tells the Sunday Mirror.
'The show has been brilliant. It's given me confidence and I've got my groove back.'