Scientists at NIMH have been studying People with Generalized Social Phobia using functional brain imaging.
Generalized Social Phobia (GSP) is marked by overwhelming anxiety and self-consciousness in social situations. There is a continuum from mildly shy people to people with marked social phobia. In addition to that many people may have a fear of specific situations only such as public speaking. Such people do not have GSP.
Functional brain imaging shows the oxygen use in real time in response to a variety of stimuli. The oxygen use is an indicator of activity in a particular part of the brain.
People with GSP have heightened responses to negative comments compared with people who did not have GSP. This showed up in two brain areas the medial prefrontal cortex and the amygdala.
The medial prefrontal cortex is involved in the sentence and evaluation of self. The amygdala is central to emotional processing. It constitutes our alarm signal and is activated when there is any sense of threat.
This work was conducted by Dr. Karina Blair and Dr. Daniel Pine. These two researchers have previously studied the reaction of the brain to facial expressions and found that it was different for people with GSP than for people with generalized anxiety disorder.
Images of Brain Activity in Subjects with GPS presented with Critical Comments

Left amygdala (left) and medial prefrontal cortex (circled in yellow, right) activated strongly in people with social phobia (in comparison to those without GSP) in response to criticism of themselves.I put in the title that shy people have different brains. However, this thought it was on people with generalized social phobia which may represent a much more severe form of anxiety. So it is not clear whether this applies to people who only respond to specific social situations with anxiety or people who are mildly shy.
Of course it does raise the question as to what the origin of this is. Is it a genetically determined sensitivity? Or is it a learned response?
And of course the further question remains as to whether it could be reversed by treatment by the psychological treatment or with medication. There is no answer as to this question at this time.