It's inevitable: Your first assignment as a mystery shopper will an anxious one. After all, you're assuming a covert identity to conduct research for a stranger. How is that not nerve-racking?
Just realize that nerves are expected - the trick is to focus on the task at hand. Try to distract yourself by researching the ins and outs of the assignment and having a solid idea of what you can expect.
"Ideally, you should commit them to memory," suggests the blog The Mystery Shopping Maven. "You will be lost as to what to do during your site visit without understanding these requirements. If you have any questions about what to do, you should contact your scheduler well before your site visit is scheduled."
Once you have a firm grasp of the task at hand, perform a mental walk-through. Envision what could go wrong and make sure you have the right supplies, documents and shopping lists to guide you calmly through the experience.
Finally, consult online resources and forums to review experiences of other mystery shoppers. Perhaps engage them and get involved in conversations. There's plenty of wisdom to be culled from these sources, so don't be ashamed of your inexperience - everyone was a novice at some point.