What literary devices are being used in this quotation from the song "Sick Boy" by The Chainsmokers? "I live in a prison that I built myself, it is my religion." Also, what does this quote say about the idea of how everything is self-inflicted?

Song lyrics are a perfect vehicle for integrating multiple and complex literary techniques into a short amount of text. This statement certainly holds true for The Chainsmokers' song "Sick Boy," and multiple literary techniques appear throughout the song as a whole.
The specific lines from "Sick Boy" that read “I live in a prison / That I built myself, it is my religion" utilize primarily symbolism and metaphor. Although the term "prison" is used to characterize the home of the speaker, the reader is meant to think more of the symbolic meaning of this term, which communicates the idea of being trapped rather than being in a literal prison. The imprisonment that the speaker feels being symbolic is further emphasized by the following phrase stating that they built that prison.
The line then goes on to connect the prison to another idea: religion. Such a connection creates a metaphor. The term "religion" connotatively can evoke several ideas, but a main one is that there are strict rules that should govern behavior. It is clear to see that if the reader views religion through this lens, then the metaphorical connection between "it," or the prison, and religion is nearly synonymous.
These two lines of the song are tragic, but also very honest. The speaker is obviously aware that the "prison" that they are living in is merely a thing created in the mind. After all, since the speaker built the prison, it stands to reason that they could also destroy that prison. Yet, the speaker does not and will not, thus creating the deep sense of self-inflicted pain.