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ObjectivesThe tendency to experience shame or guilt is associated differentially with anxiety and depression, with shame being associated with greater psychopathology. Correlational studies have shown self‐compassion to be related to lower shame and rumination, and mindfulness‐based interventions increase self‐compassion. Therefore, mindfulness‐based interventions may decrease shame. This pilot study aimed to assess the association of shame, rumination, self‐compassion, and psychological distress and the effects of a mindfulness‐based intervention on these measures in a clinical sample. Design Single‐group design with pre‐test and post‐test measures. Method Thirty‐two service users who experienced clinically diagnosed depressive or anxiety disorders in a mindfulness‐based cognitive therapy programme were assessed before and twenty‐two after therapy with measures of shame‐proneness, external shame, rumination, self‐compassion, and psychological distress. Results Shame‐proneness and external shame were positively correlated with self‐coldness, and external shame was positively correlated with stress and depressive symptoms. Self‐compassion increased and self‐coldness decreased, while shame‐proneness, rumination, anxiety, and stress symptoms decreased from pre‐ to post‐treatment. There was no significant reduction in depressive symptoms, guilt‐proneness, or external shame. Conclusion Our preliminary findings suggest that mindfulness‐based approaches may be helpful in increasing self‐compassion and reducing shame‐proneness in mixed groups of anxious and depressed patients. Controlled studies of the effects of mindfulness‐based interventions on shame in clinical populations are warranted.