The phrase 'add insult to injury' is used in a situation when something happened or was said that upset you, after you've already been upset about something else.
Example of use: "My car broke down in the middle of nowhere, then, to add insult to injury, it started to rain."
This phrase is a real ancient one, in fact it's one of the oldest of expressions we know of, it goes back to the Ancient Greek Aesop's Fables (circa 620-560 B.C.).