I used to have a gym partner, a few years ago. She always felt self-conscious at the gym. She felt shame because she was over weight, and she didn't want anyone to see her working out. I always responded that she should feel proud, instead. That she had something she didn't like about herself, and she was fixing it. And, of all the places to feel ashamed of being overweight, the gym was the worst!
To me, the idea of being ashamed of resolving some problem you perceive yourself to have is alien. Perhaps I was never properly shamed enough, growing up? I have been receiving some form of mental health treatment on and off for almost my entire life. I have never perceived the stigma that is associated with seeking mental health treatments.
That's not to say that I can't see where it comes from. I've seen the references to it in film or books, or on television. However, I've never felt that stigma from anyone I was personally acquainted with. So, it was unimportant to me. But, I've never really understood where the stigma comes from. I mean, I can understand the stigma of having some sort of mental health issue, trust me, I really can. But... fixing it? Why would people judge other people for fixing it?
Likewise, with the gym thing. I'm overweight, I know it. I really don't want to change my eating patterns too much, so exercise is pretty much it. Why be ashamed to take steps to rectify my weight problem?