Can I harm my device doing these connections?
If you are just sniffing the signals you don't need the output from the "sniffer". It will conflict with the master. That will not likely cause damage but it could corrupt the signals. 

You should connect the grounds together more directly, rather than at the power supply. 

Always try adding series resistors (in this case maybe 1K or 470R depending on how high frequency the SPI signal is) to the signals. 

It will help protect both ends, especially if your power supply sequencing is not ideal. Otherwise you can cause latch-up and destruction of the chip that gets power later. 

P.S. Don't be sad, think of it as a tiny bit of tuition.