when is the first time
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No, he should not have felt ashamed. White Fang is merely a young dog. The ways of the "man animal" are strange and often cruel.
This comes when White Fang realizes the Indians or "man animals" were laughing at him.
"And then shame came to him. He knew laughter and the meaning of it. It is not given us to know how some animals know laughter, and know when they are being laughed at; but it was this same way that White Fang knew it. And he felt shame that the man-animals should be laughing at him. He turned and fled away, not from the hurt of the fire, but from the laughter that sank even deeper, and hurt in the spirit of him. And he fled to Kiche, raging at the end of her stick like an animal gone mad--to Kiche, the one creature in the world who was not laughing at him."
White Fang Part 3 Chapter 1