To help a shy or nervous bird gain confidence, you can start by creating a calm and quiet environment for the bird. Provide plenty of hiding spots and perches for the bird to feel secure. Spend time near the bird's cage talking softly and offering treats to build trust. Slowly introduce new experiences and interactions at the bird's pace, gradually increasing the level of socialization. Patience, consistency, and positive reinforcement are key in helping a shy or nervous bird gain confidence.