What's grammatically wrong with this sentence? ?

The only strictly-grammatical issue I see is the use of the hyphen in "self discovery."  The general rule is that multi-word adjective constructions are hyphenated when they precede the noun being modified.

For example:  "His was a self-centered action" vs. "His was the action of the self centered."

Is leading one's self to depression a good thing?

“has led me to”