Both are correct depending on what you mean,
I am bored- I feel bored, something is boring so it is making me bored.
I am boring-I am uninteresting, I make other people feel bored.
Btw- there is no saying 'my boring' it does not make sense alone like that, you would need to add something like, my boring dog just slept all day even though I wanted to play with him.
Maybe you got it confused with the phrase 'my bad'