The versatility of Large Language Models (LLMs) in natural language understanding has made them increasingly popular in mental health research. While many studies explore LLMs' capabilities in emotion recognition, a critical gap remains in evaluating whether LLMs align with human emotions at a fine-grained level. Existing research typically focuses on classifying emotions into predefined, limited categories, overlooking more nuanced expressions. To address this gap, we introduce EXPRESS, a benchmark dataset curated from Reddit communities featuring 251 fine-grained, self-disclosed emotion labels. Our comprehensive evaluation framework examines predicted emotion terms and decomposes them into eight basic emotions using established emotion theories, enabling a fine-grained comparison. Systematic testing of prevalent LLMs under various prompt settings reveals that accurately predicting emotions that align with human self-disclosed emotions remains challenging. Qualitative analysis further shows that while certain LLMs generate emotion terms consistent with established emotion theories and definitions, they sometimes fail to capture contextual cues as effectively as human self-disclosures. These findings highlight the limitations of LLMs in fine-grained emotion alignment and offer insights for future research aimed at enhancing their contextual understanding.