Social anxiety disorder (SAD) and bulimia nervosa (BN) are highly comorbid. However, little is known about the shared vulnerability factors that prospectively predict both SA and BN symptoms. Two potential factors that have not yet been tested are shame and guilt. In the current study we tested if shame and guilt were shared vulnerability factors for SA and BN symptoms. Women (N = 300) completed measures of SA symptoms, BN symptoms, state shame and guilt, and trait negative affect at two time points, two months apart. Utilizing structural equation modeling we tested a cross-sectional and prospective model of SA and BN vulnerability. We found that shame prospectively predicted both SA and BN symptoms. We did not find that guilt prospectively predicted SA or BN symptoms. However, higher levels of both BN and SA symptoms predicted increased guilt over time. We found support for shame as a shared prospective vulnerability factor between BN and SA symptoms. Interventions that focus on decreasing shame could potentially alleviate symptoms of BN and SA in one protocol.