We investigate the dynamics of semiconductor lasers subject to time-delayed optical feedback from the perspective of dynamical self-injection locking. Based on the Lang-Kobayashi model, we perform an analysis of the well-known Low Frequency Fluctuations (LFFs) in the frequency-intensity plane. Moreover, we investigate a recently found dynamical regime of fragmented LFFs by means of a locking-range analysis, spectral comparison and precursor pulse identification. We show that LFF dynamics can be explained by dynamical optical injection locking due to the delayed optical feedback. Moreover, the fragmented LFFs occur due to a re-injection locking induced by a particular optical pulse structure in the chaotic feedback dynamics. This is corroborated by experiments with a semiconductor laser experiencing delayed feedback from an optical fiber loop. The dynamical nature of the feedback injection results in an eventual loss, but also possible regaining, of the locking, explaining the recently observed phenomenon of fragmented LFFs.