In Bhagavad-gītā it is said that in order to make spiritual progress, one must become fearless. Abhayaṁ sattva-saṁśuddhiḥ (Bg. 16.1). Fearfulness is the result of material involvement. It is also said in Śrīmad-Bhāgavatam (11.2.37), bhayaṁ dvitīyābhiniveśataḥ syāt: fearfulness is a creation of the bodily conception of life. As long as one is absorbed in the thought that he is this material body, he is fearful, and as soon as one is freed from this material conception, he becomes brahma-bhūta [SB 4.30.20], or self-realized, and immediately becomes fearless. Brahma-bhūtaḥ prasannātmā (Bg. 18.54). Without being fearless, one cannot be joyful. The bhaktas, the devotees, are fearless and always joyful because they are constantly engaged in the service of the lotus feet of the Lord.
SB 4.24.52, Purport