None of your sentences are wrong, Sonia. But the final sentence has a different meaning to the other three. It implies (suggests) that you expected him to be shy but, in fact, he wasn't.
Sentences one and three are both correct and they both mean exactly the same thing. However, for these two sentences, I think the simple past tense of the verb "to find," (found) would be better than the simple past tense of the verb to think (thought).
Sentence two could mean the same thing as sentences one and three or could mean the same thing as sentence four..