If something "has you down" you fee sad, not angry. If I tell you not to get so down, I'm telling you to not be so sad. In a way, yes, if a person "done me wrong" (obviously bad grammar) means he or she caused me problems, misjudged me, broke my heart - not usually so much in a criminal sense, like stole from me, but it could be that too.
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Grammar GeekOh, I'm sorry, Barbara!
Yes, Maple, your impression is correct. If I "do you wrong" I have done something that isn't fair, or at least you think it isn't fair. Did my description make it sound otherwise?