It depends on your circumstances. Often, the only thing you can do is approach your mortgage servicer and ask for help or what is called a loan modification which will lower your interest rate and monthly payment.
You could appeal the modification denial. They're required to consider you for modification under federal law. Consider, of course, is the operative word, they're not required to modify but I'm not sure that they have complete discretion to deny if you meet certain criteria.
I think they need to notify you of the reasons for the denial. That could be what you'd appeal and it might give you a little traction.
Here's a link to the CFPB website that goes into the requirements.