Background: High levels of affective empathy are associated with increased levels of depressive symptoms. However, studies investigating the mechanisms underlying this relation are limited. Since affective empathy may be associated with a feeling of exaggerated responsibility for alleviating the suffering of others, it may lead to high levels of generalized guilt and various forms of shame, which, in turn, may elevate depressive symptoms. Therefore, these self-conscious emotions are candidate mediators of the affective empathy-depressive symptoms relationship. Accordingly, the aim of the current study was to test the hypothesis that generalized and contextual shame and generalized guilt mediate the relations between affective empathy and depressive symptoms. Methods: 117 inpatient adolescents completed the Basic Empathy Scale to assess affective and cognitive empathy, the Beck Depression Inventory-II to evaluate severity of depressive symptoms, the Test of Self-Conscious Affect that measures contextual guilt and shame, and the Personal Feelings Questionnaire that assess generalized guilt and shame. Results: Findings demonstrated that generalized guilt, contextual and generalized shame mediated the relation between affective empathy and depressive symptoms. In contrast, cognitive empathy was shown to be related most strongly to contextual guilt and was unrelated to depressive symptoms. Limitations: Characteristics of the sample (predominately Caucasian inpatient adolescents from well-educated and financially stable environments), the lack of a longitudinal design, and over-reliance on self-report measures were main limitations of the study. Conclusions: The study provides novel information on the mechanisms underlying the association between affective empathy and depressive symptoms and shows that shame and generalized guilt associated with affective sharing should be considered as possible targets for therapeutic/preventive interventions for adolescents with high levels of depressive symptoms.