Abstract: Objective: Research on how different types of trauma affect depression and posttraumatic stress disorder (PTSD) symptoms in veterans has yielded inconsistent results. Shame, a painful and negative self-evaluative emotion observed in PTSD and across interpersonal traumas, may help explain past findings. The present study explored (a) how trauma types (childhood abuse, combat exposure, and military sexual trauma [MST]) may be associated with depression and PTSD severity and (b) how shame may be associated with trauma type, PTSD symptoms, and depression symptoms in a treatment-seeking veteran sample. Method: Veterans (N = 372) completed self-report questionnaires assessing trauma exposure, PTSD symptoms, depression symptoms, and shame upon admission to treatment programs across two Veterans Affairs Medical Centers. Results: We found that veterans with combat exposure or MST had greater depression and PTSD symptoms than those without these trauma experiences. Among veterans without a history of combat exposure and MST, a history of childhood abuse was associated with depression symptoms. Among veterans who did not experience combat but did experience MST, a history of childhood abuse was not associated with depression symptoms. We found that characterological shame (i.e., shame about oneself) partially mediated MST status and PTSD symptoms and fully mediated MST status and depression symptoms. Conclusions: These results suggest that different trauma exposures can have complex effects on clinical presentations and that shame may be a mechanism of PTSD and depression severity in veterans with MST.