He came out with his shame out.
This phrase was developed from the 'Rock out with your cock out' genre.  

It refers to 'The Walk of Shame' which people do early in the morning trying to avoid being seen returning home from a drunken or regretted sex session the previous night. 
1- "Look dude there's Steven!"
2- "Haha! This is the reason I stay up all night smoking and  drinking coffee - to catch people doing the walk of shame!"
1- "He came out with his shame out."