In an interview with Mary Cantwell in 1974, Jean Rhys denied that her fiction was thinly veiled biography, although, she added, ‘the feelings are always mine’. In this chapter I posit 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, at first by the very people from whom the protagonists had come to expect intimacy, love and respect, but then by the whole world. 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. Sasha Jansen, protagonist of Rhys's 1939 Good Morning, Midnight, exemplifies this internalisation of others’ contempt when she speaks of herself in the third person, asking herself, ‘What is she doing here, the stranger, the alien, the old one? … I quite agree too, quite. I have seen that in people's eyes all my life. I am asking myself all the time what the devil I am doing here. All the time.’ Even as such statements register the presence of chronic shame, however, that affect remains unnamed and unacknowledged by Rhys's protagonists. Instead, shame underwrites the sadness and anger that function as emotional substitutes for the more totalising eradication of self that shame involves, thereby concealing the painful recognition of being shamed; sadness and anger in turn develop into the depression and humiliated rage that are hallmarks of Rhys's older protagonists: Julia in After Leaving Mr Mackenzie and Sasha in Good Morning, Midnight.