I got this question the other day from my ten-year-old daughter, who was just as confused about this as I once was. No, I said, they’re not. And it’s not as if confident people are never afraid, either.
I told her that we all have what I think of as a metaphorical "confidence cup." The more things we do that absolutely terrify us, the more deposits we make into our confidence cup. We have to do the things that scare us, so that each time, these experiences become less scary and our confidence grows.