Shaw has regularly been on the end of public criticism from Mourinho during his time in charge at Old Trafford, most recently after being hauled off at half time of his side's FA Cup win over Brighton & Hove Albion last weekend.
However, Le Saux believes that Mourinho's antics have been detrimental to Shaw's progress, pointing out that the 22-year-old was improving before the Portuguese boss took over.
"Shaw was at United before Mourinho, but since the manager's arrival, not only has Shaw not got better, he's lost confidence and has that fear of making mistakes that comes when you feel under immense pressure," Le Saux told Betfair.
"The fact he's not getting backed up by his manager only makes it harder. During my career, managers would protect players in public and then let rip in the dressing room behind closed doors if needed.
"If you played badly you knew you would get a hard time from the manager, but very rarely would that happen in public and I just don't understand what Mourinho is trying to achieve from that."
Shaw, who has made just 12 starts for United across all competitions this season, is widely expected to leave the club at the end of the season despite having another year remaining on his contract.