On Nietzsche's view, shame regulates social relations in a fundamental way, but it may also have deleterious effects on one's conscience and sense of freedom. In this article, I present an interpretation of this view. I do this in four parts. First, I outline and expand upon a kind of shame in Nietzsche's thought that Brian Leiter calls “meta-affectual shame.” Second, I describe another kind of shame on Nietzsche's view that I call “protective shame.” I do this by comparing what Nietzsche can say about the origin of shame to a recent account of the origin of shame by David Velleman. Third, I show that “meta-affectual shame” is the kind he considers harmful or dangerous. Finally, I show how Nietzsche thinks “protective shame” can have a positive role insofar as “rigorous selfishness” (EH “Destiny” 7) is characteristic of those whom Nietzsche calls “profound spirits” (BGE 40).