One who learns to take shelter of Krishna can be peaceful & protected in any situation.
Maharaj Ambarish [when faced with fiery demon] didn't move. He took shelter of Lord in surrender. That surrender attracts the Lord to protect us.
This protection is offered to a devotee even from the very beginning of his devotional service. Kaunteya pratijanihi na me bhaktah pranasyati (Bhagavad Gita 9.31). If one simply begins devotional service, he is immediately protected by the Supreme Personality of Godhead. This is also confirmed in Bhagavad Gita (18.66) : aham tvam sarva papebhyo moksayisyami. Protection begins immediately. The Lord is so kind and merciful that He gives the devotee proper guidance and all protection, and thus the devotee very peacefully makes solid progress in Krishna Consciousness without outward disturbances. A serpent may be very angry and ready to bite, but the furious snake is helpless when faced by a blazing fire in the forest. Although an enemy of a devotee may be very strong, he is compared to an angry serpent before the fire of devotional service.
A person who worships the demigods and gives up Lord Vasudeva [Krishna] is like a man who gives up the protection of his mother for the shelter of a witch.
One who seeks shelter at the lotus feet of Lord Krishna, is immediately protected by the Lord. As the Lord promises in Bhagavad Gita (18.66), aham tvaam sarva-paapebhyo mokshayisyaami maa sucah : “ I shall deliver you from all sinful reactions. Do not fear.” By taking shelter of Lord Krishna, one comes under the safest protection.
The living entity’s position is to be under the protection of the illusory energy or under Krishna’s personal protection. When a living entity is fully surrendered, he is under the direct protection of Krishna and Krishna gives him all the intelligence by which he can advance in spiritual realization.