Stigma has been associated with delays in seeking treatment, avoiding clinical encounters, prolonged risk of transmission, poor adherence to treatment, mental distress, mental ill health and an increased risk of the recurrence of health problems, among many other factors that negatively impact on health outcomes. While the burdens and consequences of stigma have long been recognized in the health literature, there remains some ambiguity about how stigma is experienced by individuals who live with it. The aim of this paper is to elucidate the phenomenology of stigma, or to describe how it is that stigma shows up in the first-person experience of individuals who live with stigma and its burdens. Exploring the relationship between shame and stigma, I argue that shame anxiety, or the chronic anticipation of shame, best characterises the experience of living with a health-related, or health-relevant, stigma. Understanding the experiential features, or phenomenology, of shame anxiety will give healthcare professionals a greater sensitivity to stigma and its impacts in clinical settings and encounters. I will conclude by suggesting that ‘shame-sensitive’ practice would be beneficial in healthcare.