We consider the motion of a harmonically trapped overdamped particle, which is submitted to a self-phoretic force, that is proportional to the gradient of a diffusive field for which the particle itself is the source. In agreement with existing results for free particles or particles in a bounded domain, we find that the system exhibits a transition between an immobile phase, where the particle stays at the center of the trap, and an oscillatory state. We perform an exact analysis giving access to the bifurcation threshold, as well as the frequency of oscillations and their amplitude near the threshold. Our analysis also characterizes the shape of two-dimensional oscillations, that take place along a circle or a straight line. Our results are confirmed by numerical simulations.