This paper explores the link between the experience of shame and the onset of persecutory delusion, from both phenomenological and psychoanalytic perspectives. After criticising Jaspers' thought, which regards delusion as formally incomprehensible, and affirming its affective intelligibility, we make use of Kohut's conceptions of shame and narcissistic rage to identify one of the possible psychic dynamics underlying paranoid ideation. Afterwards, we introduce the clinical case of Mario and present the thematic analysis of his diary's entries written during a period of five months. The analysis, based on IPA methodology's principles, allows us to observe the transformation of his lived experience and the formation of his persecutory ideation with the course of time. The results show Mario's increased openness to interpersonal relationships, accompanied by the intensification of ambivalence, shame and anger, that lead him to a delusional construction, implying a complete devaluation of the other. Fear of rejection and helplessness represents an anticipatory assault to the self and arouses unbearable feelings of shame, which need to be transformed by Mario into extreme rage in order to reassert his worth. In conclusion, some persecutory delusions could be understood through the shame-anger dyad and seen as a defence operating to regulate self-esteem.