You feel ashamed only if you have done something bad or morally wrong. You feel ashamed if you cheat in an exam, or take your sister's boyfriend, or laugh at disabled person. Embarrassment is simply feeling uncomfortable in a public situation. You feel embarrassed if you do or say something stupid and everybody looks at you. You can feel embarrassed if you go somewhere wearing the wrong clothes, or if you call someone by the wrong name.There is no moral dimension to feeling embarrassed - you've maybe done something stupid, but not something bad. So, which do you think is the right word?

In this situation, you could probably put both, but for different reasons. You would feel embarrassed because you were caught stealing the sweets, and you would feel ashamed because you already know that it is wrong to steal. If you do not care that you are stealing, you might still be embarrassed that you were caught in the act. If you are good person or desperate, you will probably feel both feelings. Another example: I am ashamed that I cheated on my examen, but thank God the teacher never found out. I am ashamed that I cheated on the test, but I was really embarrassed when he caught me!

Vanessa in modern English both words could be correctly used in your sentence. In the United States they are almost synonymous... ashamed is usually more serious than embarrassed.

ashamed usually followed by ( of)

ashamed >>the feeling after a a guilty thing u did embarrassed >> u feel uncomfortable in a situation