Many Believers experience a certain level of shame when they're faced with challenges. I believe that this is due to gaps in certain schools of thought within the Church.
For example, in the Word of Faith school of thought there are huge gaps on the matter of theodicy. Theodicy looks at why God allows bad things to happen to God's people. In the Word of Faith school of thought if we name it, claim it, profess it, fast, pray, and do all the "right" things then we will prosper, be in good health and experience longevity.
In the Word of Faith school of thought, when something bad happens it must be due to personal sin, generational sin, lack of faith or spiritual laziness. In my view, this is a works- based , legalistic school of thought that has tried to reduce God to God's principles, promises and prophecies. Revelation about spiritual laws, spiritual technology, spiritual realms, spiritual dimensions, etc is by the MERCY of God. AND God is bigger than what God reveals to us. It is extremely PRIDEFUL to think we know ALL of the ways of God because God is merciful to reveal to us some of God's ways.
God is Sovereign and allows death, disease, sickness, destruction, etc. to occur. Sometimes this is due to personal sin or generational sin and iniquity. Under the Old Covenant God visits the sins of the fathers to the third and fourth generation. God's word tells us that God is rich in MERCY and extends MERCY to thousands and thousands of generations. Sometimes bad things happen to God's people for reasons we don't understand. Sometimes bad things happen to God's people so that God may be ultimately glorified. God is good, righteous and just- no matter what.
Yes, examine yourself when faced with challenges. Ask God to reveal to you if you've violated a principle. And give yourself grace. Cry out to God for mercy. Refuse to be gagged or muzzled by the enemy, life's challenges or a legalistic, work-based schools of thought that accuses victims of wrong-doing just as Jobs friends accused him.