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Episode 2 in general. Naofumi takes in little Raphtalia as his slave and treats her very well, so well that the latter thinks of him as her savior and to the audiences' perspective, the girl is being treated as a living being for the first time in years.
Upon knowing Raphtalia having a panic attack, Naofumi immediately came to her side and calms her down. Despite all the crap brought down upon him, Naofumi never fully loses his compassion.
Despite being one of the darker moments for Naofumi, episode 4 has a big one. Malty cheats during the duel between Naofumi and Motoyasu, causing Naofumi to lose. As a result, the slave seal on Raphtalia gets dispelled. Naofumi, believing that Raphtalia will abandon him as well, slumps down in sorrow feeling nothing but seething anger towards the world so badly that the curse shield nearly gets unlocked. However, Raphtalia walks in and despite some initial dismissal, Naofumi comes to realize that Raphtalia will always be with him, no matter what happens. He starts sobbing while Raphtalia holds him.
Naofumi's accomplishments are finally getting the recognition and rewards they deserve as some soldiers and mages volunteer to aid him on the upcoming Wave.
Not long after, Naofumi calls out on the heroes' blunders. He's not just speaking this, angry that he has to clean up their messes, he is speaking on behalf of all those that lost their lives because of their actions.
Episode 12 has Naofumi protecting Melty from an attack despite every fiber in his body asking him to not trust anymore of the royalty in Melromarc.
Just when Queen Mirellia was about to execute Malty and the King for their crimes, Naofumi of all people step in to spare them. In truth, he still hates them but the real reason he did it because he saw what this sentence would do to the queen who is so scared for her daughter and husband. Because the Queen helped him clear his name, it was the least he could do for her.
Melty comforts her mother who revealed that had the execution continued, she was about to sacrifice herself to save her family. But now she didn't have to because the Shield Hero who she tried her damn hardest to appease to prevent him from abandoning her country chose to spare them by offering a different punishment. It left a big impression to Mirellia that she valued Naofumi more than the other Three Heroes.
In an unusual example, L'arc and Therese don't believe that Naofumi is the Shield Hero. It isn't because they don't think much of him, but because in just two brief meetings they can clearly tell that Naofumi is a good person. He isn't anything at all like the monster the Shield Hero is rumored to be.
Both of the ED's for anime. During the first one, we watch Raphtalia aimlessly wandering through a wasted beach filled with shipwrecks, displaying how hopeless and broken she feels. The next scene shows us Naofumi wading through a wasteland under an ominous red sky. He lost his trust towards people, thanks to Malty. Then, Raphtalia notices Naofumi and runs towards him as the ominous red sky disappears, and we see them both smiling. Two broken birds, finding shelter in each other. For Naofumi, a person to trust completely. As for Raphtalia, a cause to live and fight for. The credits end as we see Both of them watching the sun set.