“Tragedy is when I cut my finger; comedy is when you fall into an open sewer and die” is a popular line from Brooklyn-born comedian/actor/director/screenwriter Mel Brooks. Tragedy is even the slightest harm that happens to an indivdual (me); comedy is any harm that happens to someone else.
 
“Tragedy is if I cut my finger—comedy is if I fall in an open sewer and die” has been cited in print since at least 1963, but in this Mel Brooks quote (perhaps a slight misquotation), both harms happen to the individual.
 
     
Wikiquote: Mel Brooks
Mel Brooks (born Melvin Kaminsky on 28 June 1926) is an American actor, director, and screenwriter.
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The 2,000 Year Old Man (and sequels)
Tragedy is when I cut my finger. Comedy is when you fall into an open sewer and die.
 
Google Books
13 July 1963, Billboard magazine, pg. 8, col. 3:
Comic Mel Brooks (on what is funny): “Tragedy is if I cut my finger—comedy is if I fall in an open sewer and die.”
   
15 July 1973, Oregonian (Portland, OR), Northwest Magazine, pg. 11, col. 1:
The feeling was synthesized by Mel Brooks: “Tragedy is when I cut my finger; comedy is when you walk into an open sewer and die.” For some spectators, the simple fact of not being the sufferer provides enough emotional distance to tolerate anything.
 
30 March 1975, New York (NY) Times, “Funny is money; 2,000-year-old, 48-year-old Mel Brooks: ‘Comedy is not surprise. It’s knowing.’” by Herbert Gold, pg. 179:
“Tragedy is if I’ll cut a finger, I go to Mount Sinai, get an X-ray, have to change bandages. Comedy is if you walk into an open sewer and die.”
   
Google Books
Power Plays:
How to negotiate, persuade, and finesse your way to success in any situation
By Robert Mayer
New York, NY: Times Business
1996
Pg. 10:
As Mel Brooks puts it, “Tragedy is if I get a hangnail. Comedy is if you slip on a banana peel and die.”
 
Google Books
The Mammoth Book of Zingers, Quips and One-Liners:
over 10,000 gems of wit and wisdom, one-liners and wisecracks
By Geoff Tibballs
New York, NY: Carroll & Graff
2004
Pg. 121:
Tragedy is if I cut my finger. Comedy is if you walk into an open sewer and die. MEL BROOKS
 
Google Books
Writing Comedy
By John Byrne
Methuen Drama
2012
Pg. 78:
As film director Mel Brooks reportedly observed: “Comedy is when somebody falls down an open manhole. Tragedy is when I break my fingernail.”