Learn Farsi: خدای من!

This is because of the Ezafe grammatical rule, which links a noun to its possessor. Since خدا ends in a long vowel (a), we cannot just add the usual invisible 'e' sound to link the words. Instead, we must add the consonant ی (y) to bridge the gap, making the pronunciation 'Khoda-ye'.

How does the word من (I/me) mean 'my' in this sentence?

In Farsi, you create possessive words like 'my' or 'your' by linking the noun to a standard pronoun using the Ezafe connector. By linking خدا (God) to من (I/me), you are literally saying 'God of me', which translates naturally to 'my God'.

Is this phrase used the exact same way as 'My God!' in English?

Yes, خدای من is a very common expression in Farsi. Just like in English, you can use it to show surprise, shock, amazement, or even slight frustration.