One thing I think helps is bonding.

Spending quiet time w/ the pup. Then having the pup around you constantly so there is a strong bond of trust. My old guy, alas...nearing the end...grow up literally sleeping under my forging anvil and firewood splitting stump, curled up snoozing whilst sparks flew and wood chips rained down on him. Guns? Good grief just try to keep him away from them!

Ditto his daughter who I have as well. And interestingly, she is TERRIFIED of thunder and other strange noises. But LOUD gunfire? She's a fan!!

I have an outside dog that lives in a large pen overlooking our livestock. An "early warning system" of which he excels. Great animal. But I did not spend the same amount of time w/ him. He is very fond of me and the family and little kids (all necessary around here) but he's gun shy. I've worked a little with him but these posts are encouraging me to work more.