In this article, our purpose is to show some key aspects to understand the self-harm behaviour, according to Donald Winnicott's thought, emphasizing the connection between this symptom and the experience of inconceivable anxiety. Such understanding means (with the introduction of the experience of being from oneself as the foundation to feel real and alive) a specific understanding of the clinical procedures, in the transference handling, to treat patients with these symptoms. Having this purpose in mind, we suggest the following argumentative path: we reintroduce the description of this phenomenon connecting it with phenomena alike (such as addictions, eating disorders, psychosomatic manifestations, among others), showing a wide and diversified range of symptoms of similar nature; and then we show how these phenomena can be understood, as modes of experiencing transference in a psychoanalytical treatment, in the context of the development theory of the BEING.