Almost certainly we are by nature prone to be shy or outgoing, and we inherit a propensity for certain serious psychological disorders. We don't know yet if different treatments are required for genetically determined problems than for learned problems.
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Having a "bad experience" causes us to later be stressed in that situation, i.e. pairing a neutral stimulus with a painful, scary experience will condition a fear response to the previously neutral stimulus. Fears and other weaknesses may yield payoffs; the payoffs (like attention or dependency) cause the fear to grow. Avoiding frightening situations may reinforce and build fears and stress.
Seeing others afraid and being warned of real or nonexistent dangers can make us afraid under certain conditions. (modeling) This can include seeing a movie or TV or reading a book or perhaps just fantasizing a danger. Some people have learned to see things negatively; they have a mental set that causes them to see threats and personal failure when others do not.
Of course, seeing the situation as negative ("terrible"), unpredictable, uncontrollable, or ambiguous is stressful. Many long-lasting personality factors (neuroticism, pessimism, distrust, lack of flexibility and confidence) are related to stress, decision-making, and physiological responses. Having a negative self-concept--expecting to be nervous and a loser--generates stress.
Irrational ideas about how things "should be" or "must be" can cause stress when we perceive that life is not unfolding as we think it should. Believing that we are helpless, that we can't handle the situation causes stress. Drawing faulty conclusions from our observations, such as scary ideas, like "they don't like me" or "I'm inferior to them," or having unreasonable fantasies of awful consequences ("I'll be mugged") increase our fears and restrict our activities.
Pushing yourself to excel and/or failing to achieve a desired goal and one's ideal lead to stress. Assigning fault for bad events, i.e. placing blame on self or on others, causes stress and anger. Realizing we may have been wrong but wanting to be right stresses most of us.
Careful, logical decision-makers are usually calm; people who have learned to be indecisive worriers or quick impulsive risk-takers are tense. The ideas of dying, of loosing relationships and things we value, of having a meaningless life, etc. scare us.