Yes, I have the same feeling!
In simple words, verb "to embarrass" means ""to cause somebody to feel ashamed, confused, being put in a difficult situation"
For these reasons, in my humble opinion, it's illogical that one can do it to himself. It can be done to another person, though.
In Polish we say something like that: "you're putting yourself to shame /or/ you're making an idiot of yourself"