I have been in similar situations where my H will often say things like, "I feel like a dirtbag" or "I feel like a bad person". And I too, didn't feel like validating these feelings was the right choice. I would ask him why he felt that way and he would give me very generic answers like, "Just everything." Well that's helpful, ha!
I chose to tell H that I thought he was the best person I had ever known (speaking in past tense, of course ) and was told that while I shouldn't validate him feeling like a dirtbag, I also should compliment him either.
I like your approach of just asking "Why?" Maybe don't say much when he says things like this. Next time I hear this, if ever, I plan on being pretty silent. I believe the H's are using self-pity as a way to try and alleviate their guilt. If they acknowledge that their "horrible" maybe it makes it less horrible. Idk, just a thought!
Hang in there. (hugs)
Me 26 ; H 26 S 8 Married less than a year Bomb 9/15/14 H moves out 9/15/14 H Files 11/21/14 Served D papers 12/31/14