This phrase often implies frustration or bitterness over the worsening of a situation. After losing the match, the mocking by rival fans added insult to injury.
Pro Tip 2/3
Negative Situations
Use it when a bad situation is made worse by another negative event or remark. The rain was pouring, and to add insult to injury, the bus drove past me.
Pro Tip 3/3
Not Literal
It's a figurative expression and doesn't involve physical injury or real insults. My cake fell apart, and to add insult to injury, my mixer broke.