Humans teach them to be scared of a lot of things. We expect them to spook, then they think that maybe there is something to be concerned about, then actually spook.
I've got a fairly spooky horse. My trainer started him over fences a month or so ago. I was setting fences for him and asked if he wanted a particular combination of rails used since they were the only ones in the arena. Bright yellow, big plank, would have to be offset with another pole. I've seen more experienced horses spook at similar. Trainer asks what I think the answer is.
"I don't think he knows he's supposed to be scared of it."
I think the apposite is actually true. It is 'natural, and in fact even vital for horses living as they evolved, and not domesticated, to learn to be afraid of stuff, react first, get to a safe distance and then evaluate'.
Foals that survived in the wild, learned this skill, asp.
Of course, that does not work so well for us, doing what we do with horses, and thus training programs center on having hroses learn to trust our judgement, become less reactive, dampen their built in flight reaction.
That is also why, animals raised in captivity, sometimes can't be returned tot he wild, or they at least need to be taught some of their natural survival skills before they are
Of course, horses are very good at reading body language, and if you, their leader tenses, expects them to react, they will. They don't think that their leader is tense, fearing their reaction, just that they are, so that orange blob up ahead must be something to be concerned about.