Genesis 2:25 says
Adam and his wife were both naked, and they felt no shame.
The point of nakedness is that it is now associated with embarrassment and vulnerability. The point about shame is that it is something which causes us to hide, either ourselves of the thing that causes shame.
In the Garden of Eden, Adam and Eve had no shame and therefore they had nothing to hide. This enabled complete and close intimacy between them and between God. As we will see in chapter 3, sin ruined this.
The important thing to observe here is that in Christ, sin and guilt are dealt with so that our shame is removed. This makes it possible for us to enjoy a restored relationship with God and restored relationships with each other.