Wright on 02 August 2016
Considering the current situation in the country (Spain), not, it is really not considerated embarrasing, or at least this perception has definitively warped in the last years. Right now a lot of people have to live with their parents because there's simply no other option, and it's not (unfortunately) that rare of people who were living on their own but had to resign and go back with their parents or grandparents.
If anything, it is seen embarrasing by the person who lives with their parents himself, since he would rather be on his own.
