Previous research has demonstrated that basing self-esteem on performance in a specific context can yield both favorable and adverse outcomes. To assist high achievers whose performance is strongly connected to their self-worth, an important initial step is to identify when this becomes problematic. From a theoretical standpoint, we hypothesize that shame following performance failure may help explain the association between basing self-esteem on performance and negative outcomes related to performance and health. That is, it may be when basing self-esteem on performance develops into shame following performance failure that such consequences emerge. To explore this hypothesis, we conducted a cross-sectional study with 176 elite athletes to examine whether shame following performance failure statistically mediates the associations between basing self-esteem on performance and competitive anxiety and athlete burnout. The findings in the present study were consistent with the idea that shame following performance failure could play a key explanatory role. Initial analyses showed significant direct associations between basing self-esteem on performance and five out of six dimensions of competitive anxiety and athlete burnout, with correlation coefficients ranging from 0.42** to -0.22**. However, when shame following performance failure was statistically tested as a potential mediator, these direct effects were substantially reduced and became non-significant (ranging from 0.08 to -0.02). This pattern is statistically consistent with mediation, although it should not be interpreted causally given the cross-sectional nature of the data. Despite limitations, this study may offer an important step toward a better understanding of when, and under what circumstances, basing self-esteem on performance leads to negative outcomes.