Congratulations on making the changes you need to be happy!
I'm sure building good credit will be a breeze by comparison.
Yes, I'd say that as a student you probably would be better off applying for some secured cards at this point. I read the other day that the Discover It card offers a secured version, which I think may even graduate to unsecured after about a year, and you'd be able to earn rewards in the meantime. There are lots of good secured cards out there though. Just make sure to find one that has low/no fees. If your school has a credit union associated with them, that might also be a great place to start.
If you've never had any credit problems/negative history, then personally I suspect you would be able to qualify for a starter unsecured card after you graduate and have more income. I suspect it's the combination of no credit history, plus little-to-no-income as a student that got you the instant denial.
Another option if it exists for you would be to ask to be added as an authorized user on a friend or family member's credit card(s). They wouldn't even need to actually give you a card and you wouldn't need to actually make any purchases. However, if you go that route make sure you select someone who has good credit and pays their balance in full each month and you'll probably want to be removed once you've established credit and have cards of your own. That's because if something happens and the person misses a payment, is late, or racks up high utilization that would negatively affect your credit. So again, definitely only become an AU on the account of a person you trust who has and will maintain good credit.
Anyway, best of luck!