The general claim behind the use of psychiatric service dogs is that the dogs, given their individual training, can provide a bigger sense of independency and safety for people struggling with mental health issues such as PTSD. Struggling with these types of mental health issues is thought to be associated with a self-undermining feeling of shame that, in turn, reinforces the mental health issue in question. This particular experience is, we believe, not present, or present in only a limited sense, in a positive emotional relationship with a dog. Thus, understanding the phenomenon of shame and its influence on the dog-human relationship may help us understand why such a relationship can be beneficiary to people struggling with PTSD and possibly a variety of other mental health issues. The concept of shame is most suitably thought of as a social and relational phenomenon. That is, as an emotion elicited by others and related to certain societal and cultural standards, ideals and norms. Shame is experienced as a painful emotion that negatively affects our self-perception and includes the risk of producing a self-undermining shame that can lead to social withdrawal and a continuous vicious circle of shame. In this article we address these psychological phenomena from within a philosophical framework, and we argue that a positive relationship between a dog and a human can provide a valuable social space in which shame becomes less present. Such a social space necessitates the presence of a connection between relational beings—i.e., beings with advanced mental and emotional capacities. Thus, we argue that the understanding of any dog-human relationship must include an approach beyond the somewhat still existing confines of objective natural science and its implied skepticism and agnosticism towards animal mind. We introduce an approach to dog life and dog-human relationships inspired by phenomenology. This approach enables an understanding of the dog as a bodily being, who lives in and experiences the world around her in co-existence with relevant similar others, including humans. We argue that such an approach is a sound way of trying to understand dog-human relationships and provides a key to a better understanding of the concept of shame in connection with such relationships.