When the question of whether Jesus of Nazareth actually existed comes up, as a real person who the writings of the New Testament are based on, quite often Christian apologists and scholars will present the argument of the "criterion of embarrassment": If someone had just made up the story of Jesus, the promised Messiah of the Jewish people, prophesied in the Jewish scriptures, who would come to liberate his people from their oppression, then surely such a person would not have made this savior Messiah a weak figure who not only was unable to liberate anybody, but moreover was ignominiously killed by the very people who were oppressing the Jewish, executed in the most ignominious and degrading manner like a common criminal? What kind of Savior Messiah is that? Someone who completely failed in his prophesied mission and got executed in the most embarrassing manner by their enemies? Certainly nobody would invent such an embarrassing story about the Messiah. The only credible alternative is that the story is based on true events, because nobody would invent such a disappointing outcome and such a weak "Messiah"if it didn't actually happen.
The problem is, that argument does not hold water in the least.
As far as I know, the entire concept of the "criterion of embarrassment" was actually invented by Christian apologists for the explicit purpose of trying to defend the historicity of Jesus. This "criterion" had never been used to argue for the existence of any other person and, also as far as I know, it has never been used to defend the existence of anybody else, ever. Jesus of Nazareth is the only allegedly historical figure for whom this argument has ever been used. It was invented to defend his existence, and has never been used for anything else.
Of course that in itself doesn't make it an invalid argument. However, it's an interesting thing to point out.
There are other reasons why the argument is very weak.
For starters, if someone had made up a story, in that time period, about a victorious Messiah who came and liberated his people, crushing the oppressors and leading his people to freedom and prosperity... well, who would have believed such a story?
Everybody, especially Jews, living in Judea and all surrounding areas would have seen and experienced with their own personal lives that that hadn't happened: Nobody had liberated them from the oppression of the Romans. Nobody had conquered and defeated the Romans. The Romans were still well in power, and nobody had done anything to them, and the Jewish people were still as oppressed as they had ever been.
Whoever wrote the story that eventually became the Gospels (as directly one of them or, possibly, as the original source that served as the inspiration for the four Gospels), assuming that he made up the entire story, was probably not an idiot. He would have known that if he made up a story about a victorious conquering Messiah, then nobody would believe it because they would see with their own eyes and their own experiences that it wasn't true.
However, write a story about a suffering Messiah, a Messiah who came to Earth to save his people spiritually and who ended up as a martyr, in events that happened over half a century prior in some city hundreds of miles away... and suddenly it becomes a lot more believable. Back then news didn't travel fast, nor were historic events well known and preserved. Almost nobody would have known what happened half a century, or even a century prior, in some city somewhere, hundreds of miles away. The story of a Messiah who was martyred by the Romans was believable. It helps that this also has support in the Jewish scriptures, and one common interpretation at the time was indeed that of a suffering Messiah rather than a conquering one. (Isaiah 53:5 is the most famous of these passages.)
There is an additional possible reason to write a story about a martyred Messiah: It is possible that the original Gospel text was written with the intent to rally the Jewish people to raise up against the Romans. Resentment towards the Romans was a quite common sentiment among many Jews living in that region at the time, and there had been several rebellions recorded in history (and probably a lot more smaller ones, records of which have not survived to this day.) Thus, it would have made a lot of sense to tell a story about a Jewish Messiah who came to save his people and was then ignominiously executed by the Romans, even though he was completely innocent of any crimes. What better way to make people angry at the Romans?
The idea of the "criterion of embarrassment" also kind of implies that fictitious martyr stories were somehow non-existent or at least uncommon back in those days, and thus it wouldn't have made sense for someone to make up a fictitious heroic figure who nevertheless becomes a martyr and is killed by the enemy, without any repercussions to said enemy.
This is, of course, very far from the truth. Heroic figures suffering defeat, making mistakes, being embarrassed and even killed by their enemies was a quite common narrative trope, and had been for centuries and centuries. Even several of the revered prophets of the Old Testament died as martyrs at the hands of their enemies.
The notion of pious innocent prophets of God being ignominiously tortured and killed by their evil enemies was a very common story. It was, in fact, more common than prophets of God who came and conquered and destroyed their enemies (with perhaps only Moses being the most prominent example of this.)
The "criterion of embarrassment" just does not hold any water on scrutiny. It is, possibly, one of the weakest possible arguments for the historicity of Jesus. Personally, I find it astonishing that even some atheists and skeptics consider it a valid credible argument, and that it is being seriously presented in many secular sources.