If CBT asks "what are you thinking right now?", psychodynamic therapy asks "where does this come from?". Its premise is that much of what drives us sits outside awareness: patterns formed early, in our first relationships, that then repeat with partners, bosses and friends.
It is the contemporary version of classical psychoanalysis, but far more practicable: you sit in a chair rather than lie on a couch, you meet once a week rather than four times, and the therapist is active in the conversation rather than silent.
What it pursues isn't the rapid disappearance of the symptom, but an understanding of its function. Your social anxiety may be the last link in a chain that starts with an unpredictable parent. CBT teaches you to manage it. Psychodynamic work helps you understand why it appeared — and both are useful, at different moments.