Yeah, I have had troubles with it too, or sense of guilt or embarassement..
I think there was something about it in CBT book 'The Feeling Good Handbook' by Dr David Burns, I really liked it at the time and it helped me a lot. I think I may need to read it and do exercises again, lol.
It helps me sometimes to put things in perspective: if it's shame/guilt over things I haven't done or have done, it helps to see how other people are doing about this - are they doing anything? Do they have the same/similar problems? etc
Sometimes it helps to google it and find people with the same specific problems.. And/or talk to them, hang out with them.. (like here at this forum or elsewhere) Or look at the statistics/research/studies.. Or read about people with similar or even worse problems..
So, these are just a few things that can help. Sometimes helping another with the same (or a different) problem can help too. Or distraction - to do somthing effective and constructive, or just to relax, take a walk..