Us ocd my brain punishing me for having fun? I think I feel guilty when I have fun. 

OCD : Feeling Guilty For Having Fun 

My therapist just said to me that I have a self sabotage mechanism: every time that I feel pleasure/happiness, a lot of intrusive thoughts/bad feelings come and ruin the moment! (That how my rocd works!) So I think that things are related yes!

Thanks yes.   I always feel like when I have fun something will go horribly wrong because I let my guard down. 

Well, for me this happens with eating, and in my relationship... every time that I'm having fun with my bf my head says something like "are you sure you really like him? Yeah you should probably broke up" 
So FRUSTRATING 

This is how it goes, unfortunately. OCD wants to distract you from your joy so that you can focus on its obsessions. It's best to leave it alone, it's trying to obtain your attention as always.