For me I would never SH by physically harming myself, but rather would mentally punish myself for everything I believed I had failed in my life, like not living up to certain social standards or the expectations of others.
Sometimes while I'm depressed, I will intentionally seek out depressing things like reading reports on horrible tragedies or reading about statistic on horrible things in order to educate myself on the real world, instead of the fake happy go lucky life we are all taught to believe in. though this usually only results in me becoming more depressed, and has intern made my view point on the world very nihilistic, which only prolongs my depression which causes that cycle to start all over.
but even thought it seems strange I kind of like the feeling of being depressed, it doesn't feel good in the traditional sense, but there is a sort of comfort to the feeling of immense sadness/emptiness, that seemingly can't be found in happiness.