To break it down:
It's what you've got when you are lost: when you're lost you feel helpless, turned around, don't know how you are going to get out, anxious, and overwhelmed, etc
it's what you get when you're confused: when you are confused you feel helpless, overwhelmed, anxious, don't know what to do how to do it or when.
it's what you're left with when things go wrong: you don't understand why things went bad, you feel helpless, hopeless, overwhelmed, depressed.
Most people feel the same way for all three of those scenarios and the common slang for those feelings when they are combined are "a sinking feeling" people say they have a sinking feeling. Thus where the statements came from that its what you get, got, and left with. A feeling.
I would question why your friend gave you a riddle they had no answer to. I may be cynical in nature, but this one screams malicious intent.