There are several common challenges when moving from Waterfall to Scrum. One of the biggest initial obstacles is getting comfortable with having much less detail than they are used to. In Waterfall, they work from complete requirements and design documents. In Scrum, they are asked to piece things together as they go. That requires a big mental leap, and senior leaders on the team must develop strong visions that their teams can understand and work from.
Customers also struggle with this change. They are used to signing off on their complete set of requests with an understanding of exactly what will and will not be in scope. In Scrum, they are asked to focus on the most important scope and let the rest of the details come later. That is an uncomfortable shift for people responsible for large budgets.
I have also found that the pace of Scrum projects can be a challenge for some team members. In Waterfall, each role owns certain aspects of the project process, and they have a more limited role for others. This means that, at times, they are under pressure and deadline,s and other times, they are in a more contributory role. In Scrum, everyone on the team works to full capacity almost all of the time. If they aren't working on the current sprint, they are planning for the next one, and the pace is constant. Teams can become overwhelmed with this quickly, and Scrum Masters can help the team members adjust.