"I feel all right. I feel good," the former NBA star told ET's Lauren Zima. "The sun will shine tomorrow. I'll wake up, work out, move forward."
Lamar's abrupt exit left plenty of fans on social media and those in the ballroom emotional, especially his dance partner, who couldn't help herself from shedding a few tears.
"It means a lot, especially when I see Peta crying, my sister here," said Lamar. "I would [have] liked to move on, but since it didn't happen, now I can just move on to other things in my life. Public speaking, telling people my story and I figure I can change lives doing that."
Lamar continued on, telling ET that his DWTS journey has been a lot harder for him than people would expect.
"I think from my accident," he explained, referencing his near-fatal drug overdose in October 2015. "My cognitive memory ... just memorizing the dance routine was difficult at times, but I felt like I got better every week. It's so crazy because I felt like this was my best dance tonight."
Peta chimed in, adding, "You get to see like, a one-minute package before we dance every week, and so much work and hours go in behind it that people don't really get to see. It's emotional because I see him every day -- I'm with him for at least four hours a day, and to know the work he's put in behind it, I was just really super proud of him."
ET also caught up with guest judge Leah Remini, who was equally sad about Lamar and Peta's elimination.
"I don't think people understand that Lamar is not a dancer, and on top of that he's dealing with [an accident where he was] almost dying," she said. "It's not easy to learn a dance. Because not only are you learning a new thing that you have never learned in your whole life, but you're doing it live."
"I think he represents what the show is," she added. "The fact that he's out there ... and also, I think, he's used to a game face. He's not really used to showing his emotions. He's also a man in sports, I just don't know if they're used to showing their emotions out there."
Sailor Brinkley-Cook shared similar sentiments, telling ET, "I felt like I was going to sob. I've been watching Lamar really give his all and put the work in and try and be the best. It made me so sad to see him go because I really wanted to see him improve even more."