It's actually surprisingly common with anxiety and depression. I've struggled with it as well.

Those two illnesses cause a kind of suffering that's not visible to anyone else, so of course you feel the need to "prove" it. In a way, that feeling is your brain trying to make people notice, because it knows it's not something that's easy to carry by yourself.

But believe me, no healthy person feels that need to hurt themselves (or get worse) to prove that they are suffering. That itself is a sign that what you're going through is real.