German Chancellor Friedrich Merz said Monday he was "deeply shocked" by his party's state election defeat at the hands of the far-right AfD but vowed to stay the course with tough reforms while seeking to explain them better.

"This is the heaviest electoral defeat the (CDU party) has suffered in years, in decades," said a crestfallen Merz after Sunday's vote in the ex-communist eastern state of Saxony-Anhalt.

"Naturally, this will have to have consequences."

His centre-right CDU scored just 17 percent against almost 44 percent for the anti-immigration, Russia-friendly and pro-Trump Alternative for Germany (AfD), which has vowed a "remigration and deportation offensive" targeting irregular migrants.

AfD national co-leader Alice Weidel in a blistering attack on the morning after charged that "no chancellor before has been as unpopular as Friedrich Merz" and labelled him "a major burden" for Germany.