This often indicates either male sexual drive or aggression. It can also mean anger, feelings you use to be confident in defending yourself against criticism, etc., or fears or attitudes you use as a defence against anxieties. A man might feel depressed about growing old, and defend himself against these with positive thoughts for instance.
The gun can also be the bulldozer emotions we sometimes use against others, like a pistol held to their head.
When shot by gun: Feeling hurt, wounded; being the target of criticism or hurtful remarks, or fear of sex.
Idioms: Gun down; go great guns; jump the gun; smoking gun; stick to your guns; shot in the arm; shot across the bows; shot to pieces; shot in the dark; long shot.