Yes, the depression includes anger and feelings of worthlessness, which can result in self harming behavior. It's sad to see you so sad and feeling so bad.
What about your life that is so horrible, can you share that too? It's not that I don't believe you feel bad, because I do believe you. It's that I am hoping to help you find the current cause of your depressive mood. Did something happen recently that made you feel more depressed?
Have you read the basic "cognitive distortions" that increase depression, and if you work on can help alleviate the dark feelings? There's a sticky post at the top of the psychotherapy forum. They are basic statements that a therapist could use to help you too. I hope your depression lightens up so you can grab some good air. (((hug)))