There has been a lot of books written on fear, and my favorite by far is The Fear Book by Cheri Huber. Cheri Huber offers a very simplified explanation on the psychology of fear as well as practical steps to take control of our lives instead of allowing the fear we feel to dictate our lives.
Fear in its essence is meant to be a protective signal. Our minds have gathered a lot of data from the experiences we have had and the information we have fed it. When we encounter a particular situation, our minds look through that data and predict a possible outcome for us. When it finds a possibly dangerous outcome, it communicates it to us in the form of fear. This fear is a prediction. It is not a certainty. It is about a future event. It is not happening in the present. And it may never happen at all.