저 자신, 나 자신, 제 자신, 내 자신 are all used. To be accurate, 저 자신, 나 자신 is correct and 제 자신, 내 자신 isn't correct grammatically. (However, all of them are widely used and accepted as National Institute of the Korean Language.) First, there is a difference between 저/제 and 나/내. 저/제 are more polite expressions. It is used in a formal situation(ex. job interview) or a talk with a superior(/elder). 나/내 are for almost every situation except when 저/제 aren't necessary. Second, there is a difference between 나/저 and 제/내. 나/저 are basic forms. 제 is a combination of 저 + 가. 내 is a combination of 나 + 가. '가' is a postpositional word that tells you the noun with it is used as a subject or a complement. You can also say that 제 is a combination of 저 + 의, 내 is a combination of a 나 + 의. '의' is a postpositional word telling the noun is the possessive case in the sentence.

It is quite confusing even to me. I would say Everything seems to be ok.

Andi, for accurate information, i rechecked a Korean dic., and it says 제 자신(x), 저 자신(o), 내 자신(x), 나 자신(ㅇ). i.e. 저 자신이 부끄러웠습니다./ 나 자신을 사랑하는 법 Sorry for the wrong info I commented first.

could you tell me what is the difference? or both totally the same thing?

Both of them are correct!