CBT basically says that our thoughts influence our actions, emotions, and feelings and vice versa. Someone with SA will think negatively about themselves or a situation, will go there and feel nervous because of how they think, and the negative experience they have will reenforce their thoughts. It's a vicious cycle.
Heres an example. I am going to a party on friday. For some reason or another, I believe that I don't fit in at parties. Im just not cool enough and I have no sense of fashion. Everyone will see how much of a loser I am and won't want to talk to me. I go there, get incredibly nervous, am unable to talk to people, and barely last the night. The next day my thoughts of how poorly I fit into parties are reenforced because of my negative experience at one.
CBT seeks to reverse our negative thoughts, which eventually changes our beliefs, actions, and emotions. In addition, we are re-exposed to situations that would previously trigger anxiety in order to recondition our beliefs about how we react to them. In other words, we expose ourselves to situations that we would previously associate with anxiety in order to break that association.