Social anxiety and embarrassment are closely related constructs, both of which are relevant to the study of shyness. To examine the psychophysiological correlates of anxiety and embarrassment in relation to shyness, we measured autonomic arousal (heart rate, respiratory sinus arrhythmia, skin conductance level, and blushing response) in shy and non-shy female participants while they performed tasks designed to elicit either social anxiety or embarrassment. Results indicated that social anxiety and embarrassment are difficult to disentangle at the autonomic level. Blushing may be an important psychophysiological marker of shyness and social anxiety.