This means to think a lot about your own problems. A person who is "feeling sorry for" him- or herself is not only sad, but also thinking things like:

• "Why did this have to happen to me?"
• "It's not fair!"
• "No one loves me."
• "Everything is ruined now!"

"Feeling sorry for yourself" is never a good thing. Saying that someone "is feeling sorry for" him- or herself makes it seem like they're childish and immature.

You can also say this about yourself:

After that, I started to feel even more sorry for myself.