He's insecure and scared but has then shot himself in the foot by trying to appear brave.
He's tried to appear brave with is squad selection, but he's just ended up picking a mess of players that he doesn't know how to work with. The whole Alexander-Arnold thing is possibly the biggest example of this. He's bemoaning the lack of Kalvin Phillips but, while not the exact same profile, has chosen to leave Henderson behind. Instead, he's starting his third-choice (probably fourth-choice if James is fit) right-back in midfield, while Mainoo and Wharton sit warming the bench. On top of that, he's made the 'brave' decision to leave out Rashford, but doesn't know how to set up a functioning attack without someone willing to run into space, and is instead watching Kane, Saka and Foden all dropping into the same part of the pitch Bellingham is starting in to receive the ball to feet, all while Gordon and Eze sit warming the bench.
He's also made the 'brave' decision to adapt his tactics from two holding midfielders, except he doesn't appear to have given it any more thought than "only play one", so the midfield is just a mess whoever is playing there. Rice is effectively alone out there, with neither Alexander-Arnold or Gallagher operating remotely like a midfield partner, and the front-line don't appear to have been given any real instruction, so are all reverting to individualism, which is seeing them all try and do the same thing to affect the game. About the only thing they seem to have been instructed to do is drop deeper when in the lead, which just creates the endless cycle you've mentioned there.
He's 'bravely' picking a starting eleven that he doesn't know how to set up effectively, and 'bravely' picked a bench that he doesn't really trust to come in and change things.
The one thing Southgate had going for him was getting England, by-and-large, winning the games they should be winning, but since the last Euros, they've not even managed that consistently (and the wobbles were starting to show in the Nations League 2020/21).