Shame informs you of an internal state of inadequacy, dishonor, or regret .
The feeling of shame occurs when you attach the concept of ‘wrong’ or ‘bad’ to something you feel is true about you.
All humans experience shame - it's an emotional state of guilt that helps us to learn what our values are. However, this process often gets confused by societal influence - we can learn to become ashamed of things that other people have decided are "wrong" yet actually align with our own individual core values (e.g. sexuality).
Shame is - at it's core - emotional. We usually believe a certain emotional feeling is wrong, either all the time (e.g. believing anger is wrong) or during certain contexts (e.g. believing it's wrong to get angry at your parents).
This blog post by Dan Munro talks about the basics of overcoming shame: