The Prophet (ﷺ) was more shy (from Haya': pious shyness from committing religeous indiscretions) than a veiled virgin girl. (See Hadith No. 762, Vol. 4)
Sahih al-Bukhari Book 78, Hadith 146
← Previous Hadith The Prophet (ﷺ) passed by a man who was admonishing his brother regarding Haya' (pious shyness from committing religeous indiscretions) and was saying, "You are very shy, and I am afraid that might harm you." On that, Allah's Messenger (ﷺ) said, "Leave him, for Haya' is (a part) of Faith."

Sahih al-Bukhari Book 78, Hadith 145 Next Hadith → The Prophet (ﷺ) said, 'One of the sayings of the early Prophets which the people have got is: If you don't feel ashamed (from Haya': pious shyness from committing religeous indiscretions) do whatever you like." (See Hadith No 690, 691, Vol 4)

Sahih al-Bukhari Book 78, Hadith 147