"Why would God do this to me?" If we believe in a sovereign God for whom nothing is impossible, we must accept that everything that happens to us is within His will. That includes the bad things. Every affliction, every sickness, every loss, every wound, every betrayal, every death, all of these terrible things are things that God could have easily stopped, yet they happened, and therefore God must have consciously decided that these things would happen to us.
The book of Lamentations is all about sorrow. Continued rebellion against God resulted in a terrible judgement at the hands of Babylon, yet even as Solomon's temple was destroyed, the writer (traditionally believed to be Jeremiah) repeatedly points back to the love and grace of God. One thing he says is that God does not afflict willingly. This is quite a profound statement. If He doesn't afflict willingly, does that mean there's something more powerful than God? Something that makes Him do, or at least permit, things that He doesn't want to? No. Rather, a comparison can be drawn between God and a father.
The phrase "this hurts me more than it hurts you" is a bit of a parental cliche. It usually comes from a father who is about to physically punish their offspring for wrongdoing. In the mind of the child, this makes no sense. They're the ones receiving all the pain. But in the father's mind, he doesn't want to punish the child, but in doing so, he's refining the child, preventing further harm in the future. With God, it's no different. His afflictions are against His will in that He doesn't want to afflict us, but He has a higher priority: our relationship with Him. Does that mean everything we suffer is punishment for our sin? No. There are many reasons we are afflicted. Sometimes it's a punishment, but sometimes it's for our growth in another area. Sometimes it helps us sympathise with another who will suffer a similar affliction. Sometimes it's a result of someone else's sin, be it directly or indirectly. Sometimes, ironically, it keeps us out of the way of a greater harm.
Everything you have ever suffered has had a reason. We may never even know the specific reason, but we can know this: God loves us, and will be with us even in the midst of chaos. More than that, He suffers with us. Therefore, while it is tempting to look on His sovereignty and be bitter about His "failure", for lack of better term, to help us, we should instead look at His love for us and rejoice in the fact that when this world has served its purpose, we will have our place in the new one, where there will be no more afflictions. For now, however, our afflictions serve a Godly purpose.