The 30-year-old singer and 35-year-old actor split earlier this month after five years of dating, news outlets reported Tuesday.
Lady Gaga was spotted without her engagement ring July 15, the same day as Kinney's birthday, and was seen without the ring again Sunday in Cabo San Lucas. The star is vacationing in Mexico with friends.
"She was really crushed," a source told Us Weekly magazine. "[The trip] was a girl's trip to get away and get over it."
Lady Gaga and Kinney met on the set of the singer's "You and I" music video in 2011 and got engaged in February 2015. Lady Gaga openly discussed her love for Kinney in multiple interviews during their relationship.
"At the end of the day, he's my best friend," she said on The Ellen DeGeneres Show in 2013. "And having your lover be your best friend, I mean, it's the best thing ever. It's the best thing I can say about it."
Lady Gaga last released Cheek to Cheek with Tony Bennett in 2014, while Kinney plays Lt. Kelly Severide on Chicago Fire. The singer was recently pulled over just two weeks after getting her driver's license.