High performance expectations often improve performance. When individuals with high external performance expectations encounter early setbacks, however, they face impression management concerns and the prospect of embarrassment. As a result, when the going gets tough, individuals facing high external expectations may be less likely to persist than people facing low external expectations. In a field study of 328,515 men's professional tennis matches (Study 1), we employ a regression discontinuity design to demonstrate that after losing the first set of a match, players who are expected to win (favorites) are significantly more likely to quit than players who are expected to lose (underdogs). We replicate this pattern of results in a laboratory experiment (Study 2) and provide evidence for our proposed mechanism: compared to individuals facing low external expectations, those facing high expectations are more easily embarrassed by poor performance and consequently less persistent following early setbacks.