I (middle America) think that “embarrassed by” sounds more natural and common. The phrase as given in the subtitle isn’t too bad, though. My common usage is “embarrassed by” but “ashamed of”.
What is bad, in my opinion (don’t try to convince me otherwise!), is “I embarrassed you and I”. Both pronouns are direct objects, and the objective form of “I” is “me”. The proper phrase is “I embarrassed you and me.” However, the wording shown in the subtitle is becoming very common, and I believe I know why. When I was young kids would often say something like “Me and Joey are going to play”, and Mother would correct them with “Joey and I”, which is correct for the subject of a sentence. But the stupid kids over-corrected and grew up using "Joey and I’ even in the objective when the correct wording is “Joey and me”.