The underlying cause of self-pity is a broken heart.  

“Reproach has broken my heart, And I am full of heaviness; I looked for someone to take pity, but there was none; And for comforters, but I found none.” Psalm 69:20

Self-pity takes you into a pit of despair. Seek God during these times in your life. God knows and understands what you are going through. He is your comforter.  

Jesus came “To console those who mourn in Zion, To give them beauty for ashes, The oil of joy for mourning, The garment of praise for the spirit of heaviness; That they may be called trees of righteousness, The planting of the Lord, that He may be glorified.” Isaiah 61:3