In an interview with Mary Cantwell in 1975, Jean Rhys denied that her fiction was thinly veiled autobiography, although, she added, “the feelings are always mine.” This essay argues that many of the feelings that Rhys explores in her fiction constellate around the shame affect, an affect that references not just feelings of embarrassment and humiliation, but more broadly feelings of being out of place, alienated and estranged, found contemptible and unworthy by the very people from whom the protagonists had come to expect intimacy, love, and respect. This chronic and pervasive state of shame engenders profound despair, leading the protagonists to wonder if they have any worth at all, or if others’ rejection, abandonment, and betrayal of them somehow speaks to who or what they truly are. What is more, though, shame feeds into the sadness and anger that function as emotional substitutes for the more totalizing eradication of self that shame involves, thereby concealing the painful recognition of being shamed; sadness and anger in turn develop into the depression and rage that are hallmarks of the Rhysian protagonist.