Class consciousness is the major theme in Great Expectations. Pip is embarrassed by his dear friend and brother-in-law Joe's country ways after Pip's own rise to the status of Gentleman. And he is, rightly so, ashamed of feeling this way, though unable to feel--or act--otherwise. Joe sees this and, being the big-hearted and insightful man he is, goes away so as not to trouble Pip's conscience. He shows himself, at this point in the story, to be the better man.
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Pip feels uncomfortable when Joe visits because he is now living a different lifestyle as a gentleman and feels ashamed of his humble upbringing. He struggles with feelings of inadequacy and guilt for distancing himself from Joe and his past.