If your dog is older than three months old and is shy you may have a hard time getting him to completely come out of his shell. A large part of that shyness is related to socialization.
Socialization for puppies is between six and 12 weeks old, if during that time your puppy did not meet hundred strangers and see 100 new situations then your puppy may always be shy and some dogs just have a quiet, reserved personality in spite of having been well socialized as puppies.
Regardless of the reason, the best way that you can help is by not emphasizing your dogs shyness. If your dog is acting timid in a given situation and you hold her and tell her it’s okay it actually increases stress by reinforcing the timid behavior. Instead, give your dog a gentle pat, tell her it’s okay you will be fine. By projecting your own confidence you will give your dog comfort.