Being overly sensitive could indicate a self-esteem problem. When you're overly concerned with what others think of you, you're basing your sense of self-worth on what others think of you.

I had that problem for a long time. It was the source of much anxiety and pain. Some words by Nathaniel Branden changed my life. To paraphrase: Don't settle for a bit part in your own life; play the leading role. You are not here on earth to live up to someone else's expectations.

Also, the practice of mindfulness and mindfulness meditation can reduce the worry and ruminations that often accompany being overly sensitive to what others think of you.