Lyric discussion by RRSC 

Cover art for Last to Know lyrics by Three Days Grace

I think the song is about being betrayed not only by your "first love" but a friend as well(the guy she left him for) without even having a clue it was going on.

Because the lyrics are speaking about the girlfriend in the 3rd person, rather then talking to her directly its obvious that the he is talking to the person his ex left him for. But lyrics such as "you were the first to lie when we were not alright" suggest that the he knew the couple personally rather then being some stranger.

Another element of the song is the debilitating effect being blindsided in such a way can have. The song then changes tone from a feeling of self-pity,pain and confusion to the realization that it was was never really his fault and he is way better off without them.