A Timid Boxer? Something wrong?

He kinda chose me out of all the other boxers. He came down and sat in front of me, gave me a lick, and his paw. I instantly fell in love with him and took him home. Once we got home he began to tremble and run around. I know this was his first day, so I allowed him to rummage around the home. Well it has been several weeks now (I have brought him home a day before Thanksgiving) and he has been behaving the same way. He trembles, hides or runs away from anyone in the household, stays in one room, sleeps most of the day. I believe its depression but I don't know. For all I know for now is that he loves to go for walks and jogs. When he is inside - he just lays down on the bed and does not want to leave his spot however when he is outside he's happy - a different dog. I've read about the boxer breed and they are not known for being timid. So is there something wrong? Is there something I can do to break him out of his timidness?