This longitudinal cohort study explored the relationship of guilt- and shame-proneness to grief in women (N = 86) and men (N = 72) 1 month ('early') and 13 months ('late') after a stillbirth or neonatal death. Hierarchical regression showed that shame-proneness explained a small but statistically significant proportion of the variance in early grief in women (9%) and men (19%), whereas guilt-proneness did not contribute further to the variance in early grief. Conversely, shame-proneness explained a statistically significant and substantial proportion of the variance in late grief in women (27%) and men (56%), and guilt-proneness made a significant further contribution to the variance in women (21%) and men (11%). Overall, shame- and guilt-proneness explained 45% of the variance in late grief in women and 63% of the variance in men. Moreover, early shame-proneness predicted late grief in men. Personality guilt- and shame-proneness showed important relationships with late grief in both women and men, but there were notable sex differences.