The self-stigma (i.e., shame) associated with psychotherapy is a prominent barrier to seeking psychological help, but less is known about its effects after treatment begins. Evidence suggests that self-stigma may interfere with the formation of the therapeutic alliance, but no studies have examined this throughout the course of psychotherapy. Self-stigma's erosion of the alliance may be most pronounced when clients experience heightened psychological distress, but this also has not been examined. Therefore, the present study addresses these omissions among 37 clients who completed at least three therapy sessions for research credit. Participants completed measures of self-stigma and past-week symptoms of distress before each session and ratings of the working alliance after. Predictor variables were disaggregated into between-person (time-invariant or average levels) and within-person (time-variant or session-by-session changes) components to enable investigation of for whom (and under what conditions) self-stigma was associated with the therapeutic alliance. Results indicated that higher levels of self-stigma (between and within persons) predicted a worse alliance. When examined as an interaction effect alongside distress in a multilevel moderation model, higher between-person ratings of self-stigma predicted a weaker therapist-client alliance across levels (M ± 1 SD) of within-person distress. Notably, its effects became more pronounced as symptoms of distress increased, indicating a period in which clients are simultaneously most likely to need help yet least likely to feel allied with their therapist. Findings highlight the importance for therapists to simultaneously monitor and consider both average and session-by-session fluctuations in self-stigma and distress to develop and maintain the working alliance. (PsycInfo Database Record (c) 2023 APA, all rights reserved).