After Madonna's plans to adopt a baby girl from Malawi were thwarted, the singer left the country early Sunday.

Madge's bid for the adoption of 3-year-old Mercy James was denied on Friday and the little girl was being sent back to her orphanage. The material mom and daughter Lourdes did get to bond with Mercy before they left -- which just seemed to make it harder on everyone.

"Madonna spent some time with Mercy; she looked sad but Lourdes, who had clicked with the little girl, looked devastated," said an insider.

Madonna has already filed an appeal and plans to continue to fight to make Mercy part of her brood.