The Collaborative International Dictionary of English v.0.48:

Dismay \Dis*may"\, v. t. [imp. & p. p. Dismayed; p. pr. & vb.
   n. Dismaying.] [OE. desmaien, dismaien, OF. esmaier; pref.
   es- (L. ex) + OHG. magan to be strong or able; akin to E.
   may. In English the pref. es- was changed to dis- (L. dis-).
   See May, v. i.]
   1. To disable with alarm or apprehensions; to depress the
      spirits or courage of; to deprive or firmness and energy
      through fear; to daunt; to appall; to terrify.
      [1913 Webster]

            Be not afraid, neither be thou dismayed. --Josh. i.
                                                  9.
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            What words be these? What fears do you dismay?
                                                  --Fairfax.
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   2. To render lifeless; to subdue; to disquiet. [Obs.]
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            Do not dismay yourself for this.      --Spenser.

   Syn: To terrify; fright; affright; frighten; appall; daunt;
        dishearthen; dispirit; discourage; deject; depress. --
        To Dismay, Daunt, Appall. Dismay denotes a state
        of deep and gloomy apprehension. To daunt supposes
        something more sudden and startling. To appall is the
        strongest term, implying a sense of terror which
        overwhelms the faculties.
        [1913 Webster]

              So flies a herd of beeves, that hear, dismayed,
              The lions roaring through the midnight shade.
                                                  --Pope.
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              Jove got such heroes as my sire, whose soul
              No fear could daunt, nor earth nor hell control.
                                                  --Pope.
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              Now the last ruin the whole host appalls;
              Now Greece has trembled in her wooden walls.
                                                  --Pope.
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WordNet (r) 3.0 (2006):

dismayed
    adj 1: struck with fear, dread, or consternation [syn:
           aghast(p), appalled, dismayed, shocked]

Moby Thesaurus II by Grady Ward, 1.0:

83 Moby Thesaurus words for "dismayed":
   abashed, abroad, adrift, affrighted, afraid, agape, alarmed,
   astray, at sea, bewildered, bothered, chicken, chickenhearted,
   clueless, confounded, confused, consternated, coward, cowardly,
   cowed, daunted, discomfited, discomposed, disconcerted,
   disoriented, disquieted, distracted, distraught, disturbed,
   dumbfounded, embarrassed, fainthearted, fazed, fearful, frightened,
   funking, funky, guessing, henhearted, in a fix, in a fright,
   in a funk, in a maze, in a pickle, in a scrape, in a stew,
   intimidated, lily-livered, lost, mazed, milk-livered, milksoppish,
   milksoppy, mousy, off the track, overtimid, overtimorous,
   overwhelmed, panic-prone, panicky, perturbed, pigeonhearted,
   put-out, rabbity, rattled, shocked, sissified, sissy, soft,
   startled, thunderstruck, timid, timorous, turned around, unmanly,
   unmanned, upset, weak, weak-kneed, weakhearted, white-livered,
   without a clue, yellow