Yes, animals feel shame. I once put a little pac man type of puppet on my cats head for a student film I was making...and he had a look of humilation on his face, or, shame.

I didn't realize it until I looked at the film, and a friend had implied as much also.

Jealousy, fear, anger, shame, they co-mingle. What about when you point to do-do left by your dog, they feel shame over it.

My dog won't eat after having an "accident" inside.