Shame is a major component of many mental health problems and affects symptoms, coping styles, remission, and therapeutic ruptures. There are few qualitative studies aimed at understanding shame and its role for patients diagnosed with depression. In this research, we explored the origins of shame, and the coping strategies that patients diagnosed with depression employ to cope with shame. This qualitative research aimed at an in-depth analysis of shame experiences of adult women who had been diagnosed with depression and treated with cognitive behavioral psychotherapy in a Women Health Center in Turkey. Purposive sampling yielded nine high shame prone adult women who were married and had children. Four semi-structured interviews were conducted with each of the nine participants, and 36 semi-structured interviews were analyzed by Interpretative Phenomenological Analysis. According to the results of the analysis, four themes emerged. These were "substitution of rage for the feeling of shame and unworthiness," "perfection struggle to overcompensate the belief of being inadequate," "feeling shame for their own body and sexual acts," and "need for individuation." The results were interpreted by considering the social context and culture of Turkey, and the clinical implications were discussed.