Many people experience their first panic attack due a build up of chronic stress. Anxious personalities often then become afraid of them, which further stresses the body. As fear and stress increase, so does the likelihood of a subsequent panic attack. This scenario is a common catalyst into Panic Attack Disorder: becoming afraid of the feelings and symptoms of a panic attack, which causes further panic attacks.

These physiological responses can actually help us to survive. However, sometimes we experience these physiological responses, like an increased heartbeat, that are not in the presence of danger at all, but something else entirely. In these cases, our bodies can misinterpret these physiological signals as being indicators of danger or a "true threat." For example, people may experience learned anxiety due to previous associations between elevated heart rate and panic attacks and may misinterpret bodily sensations as signs of imminent death or loss of control. In this way, one may start to fear these physiological responses, which is what we call "fear of fear" (Craske & Barlow, 2007). "Fear of fear" maintains or perpetuates panic attacks and panic symptoms, which becomes a vicious cycle. In other words, you experience an increased heart rate, which you interpret as negative, which makes you feel anxious, which further makes your heart rate increase and it often spirals from there. These associations may almost happen automatically, even without conscious thought, but this is what is likely going on behind the scenes.
Research upon adolescents who as infants had been highly apprehensive, vigilant, and fearful finds that their nucleus accumbens is more sensitive than that in other people when deciding to make an action that determined whether they received a reward.[56] This suggests a link between circuits responsible for fear and also reward in anxious people. As researchers note, "a sense of 'responsibility', or self-agency, in a context of uncertainty (probabilistic outcomes) drives the neural system underlying appetitive motivation (i.e., nucleus accumbens) more strongly in temperamentally inhibited than noninhibited adolescents".[56]
Your brain focuses on some alleged thread, for instance, a very scary thought that was floating somewhere at your subconscious.  Your thalamus – the part of the brain responsible for regulating consciousness, sleep and alertness – transfers that information to your amygdala – the part of the brain responsible for emotional reactions, decision-making and memory – which marks it as “danger” and sends a signal to your sympathetic nervous system, activating the fight-or-flight response.

Occasional anxiety is an expected part of life. You might feel anxious when faced with a problem at work, before taking a test, or before making an important decision. But anxiety disorders involve more than temporary worry or fear. For a person with an anxiety disorder, the anxiety does not go away and can get worse over time. The symptoms can interfere with daily activities such as job performance, school work, and relationships.