Why did Jimmy think he had done something bad? He saved a kid's life and, without his criminal life, the poor little girl could have died. Additionally, he would have looked like a fool. It was nice that he put his future family life before his so-called jail time.

If I read you correctly, you are asking about the reason Jimmy had negative feelings about his actions.
For our answer, let us refer to the letter Jimmy sent his friend two weeks before his wedding. In the letter, Jimmy tells his friend that he is "finished with the old business." He is no longer interested in stealing for a living. In Annabel Adams, Jimmy has found a woman who trusts and loves him. This is why Jimmy wants to bequeath the tools of his old trade to his friend. As a reformed thief, Jimmy will have no need for his old tools.
As you already know, Jimmy finds himself in a difficult position when Annabel asks him to save five-year-old Agatha. He knows that he must make a choice. In the end, Jimmy decides to save Agatha, even though he knows that his actions will likely expose him to Ben Price, the police investigator. Accordingly, Jimmy has negative feelings about using his tools because he fears losing Annabel (the woman he loves), the esteem of the entire community, and the promise of a peaceful, happy life. 
Jimmy's words to Ben Price after freeing Agatha is telling:

“Hello, Ben!” said Jimmy, still with his strange smile. “You’re here at last, are you? Let’s go. I don’t care, now.”

Jimmy is quite sure that Ben will arrest him, and his unhappy answer demonstrates this. Although Jimmy was willing to sacrifice himself for Agatha's sake, he is not thrilled with the thought of going back to prison. Returning to prison would be a humiliating experience, and his indictment would expose his former dishonest lifestyle to Annabel. This is the true reason for Jimmy's despondent attitude.