There are the practicalities: reevaluate your budget when you can’t look forward to that inflow of cash; be sure to send that thank-you-for-considering-me-email if the casting director/stage manager was kind enough to contact you to inform you they won’t be hiring you; prep for the next audition, etc.
I have something important and practical I ALWAYS do when I don’t get the job: I figure out how I am going to use that time, that time not spent rehearsing, learning lines, performing.
Not getting the work sucks, but it isn’t the end of the world and there are plenty of valuable things I could be doing instead (instead of sitting around moping and waiting for my agent to call while working the day job, that is) to make myself a more well-rounded and happy individual.
The idea of needing a backup plan can be depressing, unless your backup plan is as exciting and fulfilling as Plan A.
Focusing on a new personal project is a great way for me to move past not getting that part. Be it going to the museum more often, picking up my old French work books and giving myself a refresher course, spending time reading outdoors, learning a new piece on the piano, creating more pieces of art, traveling to a new place, I have things I wish to pursue–other than my career–and I now have a golden opportunity to do just that.
It is vital to be proactive about your career. It is as equally vital to be proactive about your life. My career is dependent upon other people. My life is dependent upon me.
I have had the good fortune of working consistently for a solid year. That’s come to an end but I have no intention of stopping, even if the work has. I know my work in the future will benefit from experiences in my life, but I have to HAVE experiences first. So go out, be passionate, learn things, and do good for yourself. Make things that you’re proud of. It’s what I’ll be doing; whether I’m working or not.