Academic shame has been found to interfere with motivation and, in turn, affect students’ academic goals and achievements. This study explored the factors that influence academic shame and the underlying mechanisms among high school students by investigating the influence of family socioeconomic status on academic shame and the mediating roles of self-control and gratitude. A total of 957 high school students participated in this study and completed the Family Socioeconomic Status Questionnaire, Self-Control Scale, Adolescents’ Gratitude Scale, and Academic Shame Scale. Descriptive statistics consisted of means and standard deviations. Pearson’s correlations were used to test the strength of relationships among the research variables. A structural equation model was constructed, and the significance of the mediating effects was tested by percentile bootstrap analysis with deviation correction. The results showed that family socioeconomic status was positively correlated with self-control and negatively correlated with academic shame; self-control was positively correlated with gratitude and negatively correlated with academic shame; and gratitude was positively correlated with academic shame. Self-control played a mediating role between family socioeconomic status and academic shame, and self-control and gratitude played a chain mediating role between family socioeconomic status and academic shame. The mediating effect was a masking effect. Therefore, family socioeconomic status directly and negatively affected academic shame among senior high school students, and indirectly affected their academic shame through self-control and gratitude.