My former MyCo colleagues and my family are thinking of me as "unemployed."
I am thinking of myself as "self employed." There is such a profound difference in the implications of those two labels.
If I were "unemployed" the power to shape my future would lie very much in the hands of the companies I applied to. I'd have some responsibility, of course, but ultimately it would be the company/hiring manager which decided whether or not I would have a job again.
"Self employed" puts the power and responsibility entirely in my own hands. Yes, I need to find more clients who want to do business with me, but no one person or organization will hold the lion's share of the power over my destiny. That lies squarely with me.
"Unemployed" means that I don't have a job.
"Self Employed" means that I do have a job and that I have the responsibility to work at it consistently.