Shame is a mechanism that keeps members of the community on a narrow path of communal behavior. If you live in a very close community, shame still plays a role, "we know who you are". With urbanization our daily interactions have become so numerous and the people we are in contact with are not people we "know" - it is much harder to shame an urban dweller.
But shame is a very ingrained emotion. Our parents instilled the feeling in us a very long time back when we did something they didn't agree with. "One doesn't behave that way." Note that this would be said in third person. It is not a statement saying "I don't want you to do that because..." or even a "you can't do that because...". Usually there is no because. It should be self-explanatory why you don't pick your nose in public. It is this "This is not what we do!" form that says that if you keep behaving like this, you are not one of us.
You are not one of us!
One of the things that makes it so hard to move into another culture is that we constantly are reminded that we are not one of them. Every time we meet a disapproving stare, do something the wrong way, use the wrong word, need something explained that "really shouldn't need explaining",... we may feel shame.
When you think of the consequences of not belonging for a toddler, it is little wonder that we take it seriously. Not belonging means you are dead. But while shame is an unpleasant feeling, shame in itself is not a bad thing. It is the foundation of Pinnochio's Jeremy Cricket, the little voice that stops us from turning into totally hedonistic narcissists.
It developed in response to us doing what we wanted to do, exercising our autonomy. So the balance between autonomous behavior and fitting in with the group is delicate.
Danes have grown up with The Law of Jante (Janteloven), where the "fitting in" is centered around not promoting excellence. Other cultures, primarily Asian, positively promote excellence but with a strong component of bringing honor to your group - not just running off to be your own shining star. In such a culture shame is doled out if you don't try hard enough.
In America shame is attached to not being self sufficient. That puts a lot of focus on what you do, professionally. Not doing anything professionally means that you are not self sufficient. And that puts a lot of extra shame on trailing spouses - who may already be having identity issues because they left their professional identities when they relocated based on their spouse's career advancement.
If you have ever had interactions with a defiant toddler, you know what happens when said toddler wants to exercise autonomy. It is often a very fruitless interaction ending in a screaming NO!!!! You still have that little kid inside feeling trapped when the surroundings start hoisting disapproval on you. Your parents socialized you to do the right things in your home culture - now your new surroundings try to round some different edges.
Getting our edges rounded is a choice. In Cultural Adaptation I have described the different adaptation mechanisms people employ with various degrees of success. Knowing that it is a choice gives you a chance to exercise your autonomy. And it is a more adult reaction than letting your two year old self run the show. But allow yourself to have compassion for that two year old, as well, don't push all the time.
I hope that in knowing what is going on you realize that you can let go of the shame. You are not bad, you are just not fully socialized here. You will probably never really be one of "them" - but in time they may like you all the same.