When Mrs. Norris was attacked, he felt awful. Not because of Mrs. Norris — he'd never met a meaner cat — but because of what it meant. After reading the words on the wall and hearing Malfoy gloat about muggleborns being killed, for the first time, he really understood how strong his mum had been. And not just in her last moments, but in every moment in this world where wizards gleefully tried to tear her down. Hermione was a lot like that, too, he realized. And while she could take care of herself, he found himself sticking a bit closer in the corridors after that, keeping his eye out. (Don't ask him what he was looking for exactly — he figured he'd know it when he saw it.)
When Colin Creevey was attacked, he felt guilty. Colin had been coming to see him, hadn't he? Harry had always found him annoying — taking pictures of him incessantly, adoringly asking Harry questions, likely contributing to other people's opinion that Harry liked his fame — but Colin didn't deserve what happened to him. No one did.
When Justin and Nearly Headless Nick were attacked, he was frustrated. There was no way anyone at the school would believe him now — well, anyone besides his friends. And while the rest of them were wasting time blaming him, more innocent students were going to get attacked. And those people didn't deserve it any more than Colin did.
When Hermione and Penelope were attacked, Harry couldn't name what he felt. It was big and vast and immense and, after all, he was only 12. It wasn't until the Department of Mysteries, when Hermione crumpled to the floor at Dolohov's spell and Harry couldn't bring himself to properly look at her, too afraid of what he'd see, that he could properly name the emotion he had felt that day second year — despair.