From The Truth About Guns:

New students taking a shooting class are often frightened. Some are scared because they’re holding a [potentially] deadly weapon. What if I screw up and shoot myself? What if I screw up and shoot someone else? Equally, some are afraid another student will violate a safety rule and injure them. 
That kind of fear is a close cousin to the fear generated by performance anxiety. Screwing up with a gun might not be injurious, but it could be embarrassing. Loss of face or social status is a deep-seated concern for a lot of people.