Being a highly sensitive person can be extremely painful, but also extremely beautiful.
It doesn’t make you mentally ill or awkward, you’re just different. But you might indeed be more prone to anxiety issues, depression, etc.
Back to the bright side
As far as my experience goes, I can see the main benefits in having a great sense of intuition (listening to it is a completely different story), empathy, self-criticism (yes, this is indeed a good thing, for those who aren’t overdoing it) and increased creativity.
Feel free to share your thoughts about the dark sides as well.
But try to focus on the bright side, because it might help you to keep yourself up a little.