The immediate sources that Jung drew on for his concept of the self appear to be the Atman/ Brahman conception in Hinduism, which he discussed in Psychological Types, and certain passages in Nietzsche’s Thus Spoke Zarathustra.
“The Self also seeks with the eyes of sense, it listens too with the ears of the spirit.
The Self is always listening and seeking: it compares, subdues, conquers, destroys. It rules and is also the l’s ruler. Behind your thoughts and feelings, my brother, stands a mighty commander, an unknown sage- he is called Self” (Section l , “Of the Despisers of the Body,” trans. R. J. Hollingdale [Harmondsworth: Penguin, 1984], p. 62).
The passage is underlined as in Jung’s copy.
There are also lines by the margin and exclamation marks.
In commenting on this passage in 1935 in his seminar on Zarathustra, Jung said:
“I was already very interested in the concept of the self, but I was not sure how I should understand it. I made my marks when I came across these passages, and they seemed very important to me … .
The concept of the self continued to recommend itself to me ….
I thought that Nietzsche meant a sort of thing-in-itself behind the psychological phenomenon … .
I saw then also that he was producing a concept of the self which was like the Eastern concept; it is an Atman idea” (ZS , vol. 1, p. 391) . ~The Black Books, Vol. I, Page 66, fn 204