It's been theorized that this has to do with the neural crest, which is an embryonic structure that the adrenal medulla develops out of. The adrenal medulla produces hormones involved in stress and fear, and so an animal with a less active adrenal medulla would probably be more amenable to domestication.

Several other things also develop out of the embryonic crest, so it could be that which ties together domestication and those various other traits that seem to go with it across many species.