Saying just what emotional suffering amounts to wouldn't be easy, but there may be no need. Even if we find it hard to spell out what it is, all of us know emotional suffering from the inside. Some emotional suffering may be internally generated -- endogenous, as it's sometimes put -- but whether or not we understand the mechanisms, it's clear that things in the outer world can cause emotional pain. When you think about it, this isn't really so strange. Our emotional states are deeply dependent on the states of our brains, and our brains, after all, are physical things, in interaction with other physical things. We simply accept this for perception: our perceptual experiences are caused by the interaction between things in the outer world and our perceptual systems, including (not least!) our brains.
The details of how all this works are best left to the scientific experts, but for example, if I see someone I care about being hurt, and if I can do nothing about it, feeling distressed would seem the most natural thing in the world. That's a garden-variety example of things in the outer world causing emotional suffering. It would be odd in a case like this to say that you are the cause of your own suffering.
All the same, it's plausible that sometimes we do have some control over our suffering. Most of us tend to tell ourselves stories about what's happening to us, and sometimes those stories are not really very plausible. We may, for example, tell ourselves that a friend who didn't say "Hello" must have stopped liking us. In fact, our friend may simply have been preoccupied. To some extent, we can learn to notice when we are over-interpreting and reacting out of bad cognitive habits. This sort of pausing -- stepping back -- can sometimes lower our level of distress. Cognitive behavioral therapy calls such unproductive reactions "automatic thoughts," and seems to be able to help people by helping them learn to recognize when they are reacting that way. Buddhist approaches to emotional suffering have something of the same flavor.
So in short -- the fact that outer events can cause emotional distress isn't really any more puzzling than the more general fact that the mental is intimately related to the physical. Sometimes some of our emotional distress arises from the ways we react to things, and we sometimes have some degree of control over those reactions. However, this hardly means that we can simply "cure" all our emotional pain by ourselves, and worrying about whether we are "responsible" for our suffering may well not be very productive.