I had some Tether on my wallet (myetherwallet.com). Yesterday, I copied the ETH address on my exchange.blockchain account and sent a certain amount from my MEW.
I dont know how it happened, but the money didnt come and the support says that this is not their address.
Can I do something to get the money back or is it a bitter experience?
The funds is possible to recover as long as the address you have sent your usdt is owned by the exchange that you have mentioned. In order to recover your funds you must contact the support and send the transaction to them. USDT is compatible with many wallets like myetherwallet and more. If the address that you have sent is not from the exchange then your funds won't be recovered unless the person who owns the address will send it to you but the case like returning your funds is very rare. Only good people would do that.