Lyric discussion by indstrlgal 

Cover art for Shame lyrics by Depeche Mode

As no one has mentioned the obvious - this song seems to be about people who live privileged lives (perhaps including the band members themselves?) and feel guilty & powerless to change the ongoing status quo of the world - hunger, wealth inequality, hate between people & wars.

They inquire why can’t we become “one” as a human race and stop all the unnecessary pain the world suffers? Very philosophical…