Self-pity is a frequent response to stressful events. So far, however, empirical research has paid only scant attention to this subject. The present article aims at exploring personality characteristics associated with individual differences in feeling sorry for oneself. Two studies with N = 141 and N = 161 university students were conducted, employing multidimensional measures of personality, control beliefs, anger, loneliness, and adult attachment. With respect to personality, results showed strong associations of self-pity with neuroticism, particularly with the depression facet. With respect to control beliefs, individuals high in self-pity showed generalized externality beliefs, seeing themselves as controlled by both chance and powerful others. With respect to anger expression, self-pity was primarily related to anger-in. Strong connections with anger rumination were also found. Furthermore, individuals high in self-pity reported emotional loneliness and ambivalent-worrisome attachments. Finally, in both studies, a strong correlation with gender was found, with women reporting more self-pity reactions to stress than men. Findings are discussed with respect to how they support, extend, and qualify the previous literature on self-pity, and directions for future empirical research are pointed out.