I've struggled with this before my self, where I would run a disastrous session and feel like shit about it for a while after. It happens to all of us, it's not a personal shortcoming- We all make mistakes, and your friends aren't mad at you, and they understand you. 
I use DnD as a catch all term for rpgs, but basically, see a bad dnd game as a bad movie. You go out of your way to get snacks, sit down and focus on something for a few hours, you get invested in the characters, and then you get dissapointed when it's a shit movie. A simple example of a thing that could make a dnd session not great: Sometimes the characters that players get deeply invested in die for no good reason. Imagine if Luke Skywalker got killed by a random no-name stormtrooper while saving Leia, or imagine the actual ending of GoT.