Social media usage has been shown to have both positive and negative consequences for users' mental health. Several studies indicated that peer feedback plays an important role in the relationship between social media use and mental health. In this research, we analyse the impact of receiving online feedback on users' emotional experience, social connectedness and self-esteem. In an experimental study, we let users interact with others on a Facebook-like system over the course of a week while controlling for the amount of positive reactions they receive from their peers. We find that experiencing little to no reaction from others does not only elicit negative emotions and stress amongst users, but also induces low levels of self-esteem. In contrast, receiving much positive online feedback, evokes feelings of social connectedness and reduces overall loneliness. On a societal level, our study can help to better understand the mechanisms through which social media use impacts mental health in a positive or negative way. On a methodological level, we provide a new open-source tool for designing and conducting social media experiments.