There are lots of reasons folks experience stress when learning something new. Often we are in an environment where there is pressure. For example, at school, our teachers may expect us to "get it" right away. There is pressure to understand the new material. We know we will be tested on it. Our teachers and parents want us to master the material. So, sometimes there can be stress and anxiety because we want to please parents and teachers. Or, we don't want to be embarrassed in class. In an environment where we have to perform; an environment where we are being tested and judged, this type of stress becomes so much a part of the learning experience it can seem normal. This stress is basically a concern about what others may think of us, a concern about how we might perform.
Another type of stress we feel when learning something new is the stress of the unknown. In general, humans are much more comfortable with things we know than with things we don't know. It takes a good deal of cognitive work in order to learn something new. The new information may contradict what we already know. We may have to loosen some of our assumptions, or look at a situation differently than we have before. This can create stress because dealing with the unknown takes much greater effort than dealing with what is already familiar. This type of stress is a natural stress that arises internally. It is sometimes called "eustress" (good stress), because it can help us to become more motivated to learn. We can use this stress to help us to master new content and gain more confidence in the subject.