Sometimes I find myself embarrassed to be seen associating with a particular person. Sometimes this is for stupid reasons, like I think the person is unfashionable or something and I worry others will find me uncool by association if I'm seen with them, even though I know they're a good-hearted person that I want to be around. That impulse is obviously against my values so when I notice myself thinking that way I make a conscious effort to overcome it (after all, I think I probably trigger that feeling in other people not infrequently).
But sometimes I feel that way because I know, deep down inside, that the person I'm hanging out with is genuinely an asshole, but I'm hanging around them because for whatever reason I idolize them and crave their approval. And in that case the embarrassment comes from the fact that I don't condone how the person acts and don't want others to think I condone it... but I am in fact putting up with it and not saying anything out of people-pleasing instincts. In that case I am embarrassed about something I'm doing that I'm not proud of.
These things feel much the same, and sometimes the same person will trigger both embarrassments. It seems very important to be able to notice both feelings and distinguish between the two.