Why did Huck feel he had done wrong?

He was torn between what he was expected to do (turn Jim in to the authorities, or give the Widow Douglas information about his whereabouts and plans), and what he knew was right, despite the law (Jim should have his freedom). Huck concluded that if aiding and abetting a fugitive who'd been so good to him meant eternity in Hell, he'd rather have that than "knowing he'd done the right thing", under the law. Not an easy decision for an adult to make... much less a teenage boy.