The witches are connected to Macbeth’s guilt as they prophesized about his future, and planted a seed which lead to Macbeth’s murder of Duncan. Macbeth had been a mighty warrior, and received accolades from King Duncan. If the witches had not intervened, perhaps Macbeth would have been satisfied with his reward from Duncan who named him “Thane of Cawder”. This was one of the ways that the witches greeted Macbeth when they appeared to him and Banquo. They also called Macbeth, “Thane of Glamis”. Macbeth already held this title which is one of the reasons the witches seemed credible. Yet, it was last greeting that was the impetus for Macbeth’s murderous rampage. The third witch greeted Macbeth by saying, “All hail Macbeth. Thou shalt be king hereafter.” Later, when King Duncan bestowed the title of “Thane of Cawder”, Macbeth is further convinced that he must do whatever it takes to become king in order to fulfill the witches’ prophesies. The only way for Macbeth to become king is to kill Duncan. He, in fact, does this and becomes king; but he is riddled with guilt. His guilt manifests itself in numerous ways such as Macbeth hallucination of a “dagger”. The witches also prophesize that Banquo’s sons will become kings which directly leads to Macbeth’s involvement with the murder of Banquo. Here, Macbeth’s guilt manifests itself by the appearance of Banquo’s ghost.
Do you mean why does he feel guilty because of his actions, or is he guilty for his actions? I'll assume why is he guilty because of his actions.
Macbeth feels guilty as he worries about the consequences of killing King Duncan. He fears the worst, and that Banquo and his 'issue' (children) will take over the seat by killing Macbeth. Eventually, this guilt makes Macbeth hallucinate, worry and stress, and it is only his 'vaulting ambition' and the influence from his wife (who also eventually succumbs to guilt) that keeps him fighting on.
The witches contribute to the creation of Macbeth's guilt, as they are the ones who prophecise Macbeth's future (they tell him about Banquo and his children taking over the throne, which does indeed happen - Malcolm kills Macbeth). In Act 4 Scene 1, when Macbeth comes to them for more prophecies, the withces play with Macbeth, but this consequently removes most of his guilt, and replaces it with destructive ambition.