Shame is a powerful emotion with a strong link to borderline personality disorder. This study investigates shame levels in borderline personality disorder, compared to major depressive disorder and healthy women. A total of 25 women with borderline personality disorder, 25 women with major depression and 23 healthy women underwent a shame induction exercise. The self-reported intensity of shame, anger, anxiety, sadness, joy, annoyance, and boredom, was measured five times. Compared to participants with major depression and healthy women, patients with borderline personality disorder had higher baseline levels of shame, but there was no evidence of greater emotional intensity or a prolonged return to baseline after shame induction. They were the only group to express increased anger following the exercise. These findings strengthen the view of stronger emotional negativity in borderline personality disorder. The differences in the impact of shame on anger may contribute toward understanding emotion regulation difficulties in borderline personality disorder.