It tears me up, it makes me very sad, and it's eating me up all definitely convey the same meaning. It is eating me alive, however, also carries suggestions of being physically eaten. However, if you were to say "(this painful situation) is eating me alive" it would be obvious what you meant, although I am not sure that the usage is so common.

They all kind of carry the same meaning that something is really bothering you. However, I don't think they're as common to be used frequently. They're definitely sayings that you would only use around people you trust, because there are only used when something is very troubling. To me, they're phrases not taken lightly.