Is this an English proverb? On quotations websites, it is often attributed to Sir Boyle Roche, but it is not listed on WikiQuote (I added it to the list of unsourced quotes on the discussion page). Another website says its a German proverb, but I couldn't find it (my German is very basic though).
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I'd call this a quote, rather than a proverb.
There are only 14 instances of "disappointment is the nurse" in Google Books. Every one for which I can view the context continues with "of wisdom", and almost all of them explicitly attribute it to Sir Boyle Roche. This website claims it's a "German Proverb" - but even if that were true, the fact that Sir Boyle Roche rephrased it in English wouldn't make it a proverb from our point of view.
Note the related "experience is the mother of wisdom", which gets 2330 hits on Google Books. Personally, I wouldn't even call that a "proverb" - it's hardly in the same league as "necessity is the mother of invention" (80,000 hits).