I feel like a terrible person sometimes

You get caught in the rain without an umbrella and you think: "Why me?" This is self pity. It's a misfortune that was out of your control.

You steal someone's umbrella on your route and and think: "This wasn't fair to take." This is guilt. The misfortune of another person was caused by your intention.

The distinction matters because self pity is unproductive; it's not something you can change. While guilt is something you have control over. For example, I can choose to be kind without asking/hoping for anything in return.