Exposure to different kinds of traumatic events is common among adolescents. This brief report study examined whether shame proneness and guilt proneness were associated with direct and indirect experience of potentially traumatic events (PTEs). We investigated the relationship between gender, PTEs, shame, and guilt among adolescents (n = 314, age = 15–20 years). We hypothesized that shame proneness and guilt proneness would be associated with direct experience of interpersonal and sexual PTEs, that both direct and indirect experience of potentially traumatic sexual event/s would correlate with female gender, and that potentially traumatic direct and indirect interpersonal event/s would correlate with male gender. Shame was positively associated with having experienced direct sexual trauma and with female gender. Girls had more often experienced potentially traumatic direct sexual events and boys had more often experienced potentially traumatic direct interpersonal events. Indirect experiences of traumatic events were not related to either gender or shame. We conclude that the relation between shame, PTEs, and gender is complex with both types of traumas and gender interact with shame. This study found that shame and direct experience of sexual traumatic events were associated among adolescent girls. Gender and what type of traumatic events adolescents’ direct experience is most likely related but not gender and what type of indirect experienced trauma.