I understand where you're coming from. In the beginning of my depression I didn't know why I felt so sad all the time, because my life was pretty good as far as i was concerned. But i found through counseling there were a lot of things going on in my life that were affecting me.

Take an assessment of your life. Every little thing that has ever bothered you on a day to day basis, it could be more than you think.

You said you self harmed? Well, no matter what, whether you know what's wrong or not, that's not the answer. Do me a favor, and take a look at this: teenhut.net/depression-self-ha…ternatives-self-harm.html
Whether you know what's wrong or not, you'll know what you're feeling. Just match your feeling to those categories, and try one of the things listed. Try things in categories that you're not feeling, but may want to try out. They can help you feel better, without having to hurt yourself.

Can you talk to your boyfriend or friends about how you feel by any chance?

Okay well for starters, you can try not to worry about being selfish for crying. You obviously already feel bad enough. You don't need to pile "feeling bad for feeling bad" on top of that, you stooge burger!!

We're all ears, here, dear. So you can vent whatever you want to.

Why do you feel bad when you're alone?

Are you sure there's nothing that you look forward to? Hobbies, spending time with your friends and boyfriend, ...?

I think you just lack life. I mean you have everything you could want right, but you still feel empty? I think you just have nothing to live for. I know the feeling like, super well. Find something to do with your life, something you care about, find people you want to do everything for, take up an art form, make something in the world perfect, whatever that it. We live in a world without anything of any real meaning except what's new and expensive. I hope you find what fills your life.

Most of what I have to say has already been said, but I'd also like to add that if it makes you self-conscious to say what's bothering you face-to-face to your counselor, maybe you could try writing it down before a session. Like, just write out whatever's bothered you lately and just vent, and when you start the session, hand it to them and ask them to read it. That way, they know what's up and you don't have to feel so bad saying it out loud. I've learned that I'm a lot better at writing out how I feel than I am speaking it, so that might help you, too.