Research suggests that shame and guilt may play a role in anxiety disorders. For social anxiety disorder (SAD), however, only a few studies investigated patients with the primary diagnosis of SAD. Thus, further research on shame and guilt in SAD is required. A secondary analysis of Data from the SOPHO-NET multicenter treatment study was performed. In a large sample of N = 495 patients with the primary diagnosis of SAD the relationship between shame and guilt with symptoms of social anxiety, depression, and interpersonal problems was examined by means of correlation analysis and additionally, a hierarchical linear regression analysis. To assess SAD, the German version of the Structured Clinical Interview for DSM-IV was used. Shame and guilt were assessed by the Test of Self-Conscious Affect. Results showed significant associations between internal shame and SAD symptoms, depression, and interpersonal problems. Internal shame contributed significantly to the variation in SAD symptoms over and above depression. Contextual-legitimate guilt was neither correlated with SAD symptoms nor with interpersonal problems. For depression, a significant but very small correlation with SAD symptoms was found that did not persist after controlling for internal shame by partial correlation. Internal shame but not contextual-legitimate guilt plays a role in SAD. It seems to be not only associated with symptoms of social anxiety but also with depression and interpersonal problems. Future studies should examine whether a focus on internal shame may be useful in treating SAD.