Self-conscious emotions such as shame are recognized for their distinct roles in psychopathology. Shame consists of a multifaceted blend of emotions, often marked by negative, self-defeating thoughts, a propensity for emotional avoidance, and significant denial, affecting self-evaluation, thereby impacting mental well-being and interpersonal dynamics. Individuals prone to shame often experience pervasive feelings of worthlessness and inadequacy, leading to difficulties in daily functioning, including impaired cognition, communication, and social interaction. As a self-conscious emotion, shame prompts a desire to hide and is often described as distressing and detrimental. Many mood and personality disorders include shame as part of the underlying foundation that drives and maintains emotional dysfunction. The present study investigates the relationship between shame and psychological symptoms such as depression and anxiety. Data were collected from 349 Albanian students between 18 and 28. An online questionnaire was administered incorporating the Test of Self-Conscious Affect (TOSCA-3), Beck Anxiety Inventory (BAI), Beck Depression Inventory (BDI), and demographic questions regarding gender and age. Findings revealed a positive correlation between shame, depression, and anxiety, where the shame and depression correlation was significantly stronger than anxiety. Gender differences were also noted, with females reporting higher levels of shame. These outcomes aligned with the present literature by confirming a link between psychological maladjustment, shame, and guilt emotions. Furthermore, the current findings suggest that both researchers and practitioners should prioritize shame and guilt within the context of mental health challenges.