Some people have privilege. This obviously hurts those who do not have that privilege.
Privilege also hurts the privileged. The greatest privilege is not knowing that you are privileged, so that you don't notice or think about your (our) comparative unearned advantage. Privilege can make the privilege incurious. This produces a kind of parochialism.
When I teach college students about their degrees of relative privilege, the most privileged sometimes feel angry, but most of them feel guilty. And don't know what to do next. Many consciousness-raising approaches to teaching about privilege stop there. Some are even glad to provoke feelings of guilt.
I think a better approach to teaching about privilege is to treat it as a knowledge problem. Curiosity cures unacknowledged privilege. Being curious about people who are not like you is the best path to living justly with others, and serving others as our privilege makes us able.