什麼 is a question word that means 'what?' It does not mean "something."
有 also means "have." It SOME contexts it means "there is," but it is almost 100% translated to "have" in English.
LIterally: Have what good fear?
or: Have what fear*?
What is there to fear?
好 can be used as a modifying word of an adjective -- such as the difference between 可怕 and 好可怕。 It turns "awful" into “awful awful." That's an overly simplistic way of looking at it, but it works 95% of the time.
The grammar is deceptively similar when you start, but you will need to learn the differences in Chinese from English. A direct translation will lead to mistakes like these.