I mistakenly deleted the SessionState database from SQL server. How this will affect my farm? And what is the correct way to recreate it?
You can disable and enable the Session state service to re create the same database.
here is the SharePoint Management Shell script to disable the Session state service and enable with specified Database name. You can also look at this Microsoft blog what happens if you disable this session state service.
Disable the service - https://technet.microsoft.com/en-us/library/ff607992.aspx
Enable the Service - https://technet.microsoft.com/en-us/library/ff607857.aspx