"Shameful" is an adjective that describes something that would cause someone to feel ashamed. "Ashamed" is an adjective that describes a person's feelings when they have done something shameful.

It would appear that he didn't even feel ashamed for his shameful behaviors.

You could say "Getting bad grades is shameful." or "What a shamefully awful thing to do." One who engages in a shameful act should be ashamed. Shame is the the emotion that one feels when he commits a shameful act, and as a result, he is ashamed.