Sometimes we're unhappy from things completely unrelated to our life. Nothing bad has to happen for someone to become depressed. A lot of things are just related to chemical imbalances in the brain.

You have the right to feel the way you do, it's nothing to feel guilty about. Mental illness does not discriminate, it affects all kinds of people of all different walks of life and economic statuses. It happens to people who haven't had anything bad happen to them and to people who have had something bad happen in their life. It's a legitimate heath issue that a lot of people end up facing at some point in their lives.

As far as self harming goes, it's an extremely hard habit to break. It does feel good, momentarily until you have to keep re-doing it and re-doing it. Then you feel guilty about doing it in the first place. It's a very bad cycle.

Are you currently seeing a therapist? I recommend you seek out one, especially one that specializes in CBT (Cognitive Behavioral Therapy).