The first person to ever get modesty checked was Eve. Well, Adam was there too, so him too.
Here she is, brand new to the world of understanding the difference between good and evil and the first thing someone says to her is “You’re naked!! Hide!” So she runs to hide her shame under fig leaves.
Then Heavenly Father is like “Where are you? WHO told you that you were naked?!” And He didn’t tell her (okay, okay—them) that it was fine that they were naked and they should run around that way. Instead He traded their cold fig leaves of shame for warm coats of skins. The coats of skins (maybe lamb skin?) represent their Savior’s Love and Atonement for them.
I love this way of thinking about modesty. From the beginning, shame around clothing was Satan’s game, and love was God’s way.
I know this story is much more a parable about all sin. Nakedness in the scriptures is often used to represent the shame and vulnerability of sin, where being clothed is symbolic of being covered by Christ. But the shame is always from Satan, and the love and warmth is from God. He’s not embarrassed of nakedness—He made us that way. But he wants us to feel loved and safe. Warm and protected. He provided a Savior. And if we choose to don it, we are covered by His Love.