Growing up in an environment that insists any hint of gender questioning, non-cisgender identity, or expression of a desire to change genders is wrong, sinful, and a Work of Satan might have something to do with it.
If one is told often enough that the feelings held deep inside are evil and to be denied, and one can't really deny them, then the conclusion one draws is that they are in fact evil.
It's a natural consequence of being a transgender person raised in a transphobic, religion oriented culture.
What seems to help is trying to isolate where our feeling of wrongness, that is, where the feeling that being a transgender person is wrong, originates from. I can trace mine back to certain incidents in a private religious school that left a mark on me. Knowing that the idea that what I am is 'evil' is an opinion forced on me by others in positions of authority helped. I was able to isolate and redirect that sense of wrongness onto their authoritarian transphobia. That is, I'm not evil. The authority figures that beat that idea into me are evil.