Social anxiety disorder (SAD), characterized by fear of being scrutinized by others, has features that that are closely linked to the concept of shame. Despite this, it remains to be investigated whether shame is elevated in persons with SAD, and if cognitive behavior therapy (CBT) for SAD could reduce shame experience. In the present study, we focused on internal shame, i.e. the type of shame that pertains to how we judge ourselves. Although guilt is distinctly different from shame, we also viewed it as important to investigate its role in SAD as the two emotions are highly correlated. The aim of this study was to investigate: (I) if persons with SAD differ from healthy controls on shame and guilt, (II) if shame, guilt, depressive symptoms, and social anxiety are associated in persons with SAD, and (III) if CBT can reduce internal shame in patients with SAD. Firstly, we conducted a case-control study comparing a sample with SAD (n = 67) with two samples of healthy controls, a main sample (n = 72) and a replication sample (n = 22). Secondly, all participants with SAD were treated with CBT and shame, measured with the Test of Self-Conscious affect, was assessed before and after treatment. The results showed that shame was elevated in person with SAD compared to the control replication sample, but not to the main control sample. In addition, shame, social anxiety, and depressive symptoms were significantly associated among participants with SAD. After CBT, participants with SAD had significantly reduced their shame (Cohen's d = 0.44). Guilt was unrelated to social anxiety. We conclude that shame and social anxiety are associated and that it is likely that persons with SAD are more prone to experience shame than persons without SAD. Also, CBT is associated with shame reduction in the treatment of SAD.