If you break your leg, you are injured. If someone caused the break by pushing you off a swing, you are the injured party. Injured means harmed.
Usually injured means physically harmed, but sometimes you'll see it used with pride. After being yelled at in front of the whole team by your coach, you'll go home with injured pride. Injured shares a Latin root meaning "right" with the word jury. If you are on a jury, you are expected to do what's right. When you are injured, it's just not right.