Which is more correct or natural ?
I am jealous at you
I am jealous on you
Thanks in advance!
Neither!
Use
“I am jealous of you.”
Thanks B !
Is ‘at’ or ‘on’ never used with jealous?
What about this
I am jealous at me or myself?
It’s never used correctly with those anyway. 
And it’s rare that one is jealous of oneself. lol That might occur in some very deliberately playful language, but we’ll dismiss that as illogical.
Thanks for clarifying this silly doubt!
I cannot agree more. Some very deliberately or ironically playful language such as: Look at my ill-fortune, that I am jealous of myself!