Thank you for reading.
Which of the sentence do you find most natural?

Thanks! You saved me from embarrassment.
Thanks! You saved me from being embarrassed.
Thanks! You saved me embarrassed.

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@Vovgan Thank you. I felt something's missing in the question sentence but I did know what is it because, to be honest, this was the first time I tried to use "Which of ~ do you find most natural" form. And more, that "losing face" is such an interesting expression that it has a similarity with the Japanese idiom ”顔をつぶす” or "面目を失う”. Thanks again.

@Grace_Krenz Thank you.

@Vovgan Thank you very much for the corrections. This is exactly what I wanted to know. I will bear in mind these corrections. I truly appreciate it.
felt that something was missing IN THE WAY I PUT MY QUESTION.
I did not know what IT WAS...
We have a SIMILAR IDIOM in Japanese...

@hbjhbj 　Thank you for the comment. From my search, lose face is an expression and its concept came from Asia, probably China. However, it seems it has already been a part of American English since the 1800s according to the dictionary, and that means: Be embarrassed or humiliated, especially publicly. I am not sure the reality because I am not American.