Shame exists wherever there is a “mystery”; but this is a religious concept, which in the older times of human culture had a wide extent.
… Sexual relations, for example, which as a privilege and adyton [this was traditionally the most sacred place within a Greek temple, reserved for the priests and priestesses] for adults were to be withheld from the view of children, for their advantage.
… In the same way, the whole world of inner conditions, the so-called “soul”, even now for non-philosophers [let’s include depth psychologists here among philosophers] is a mystery, because this has been believed to be, for countless ages, of divine origin and of being worthy of divine intervention: as a result it is an adyton and arouses shame.

Nietzsche – Human, All-too-Human, section 100