CL65 Captain traveling on the flight deck jump seat reported a CFIT incident. The aircraft's EGPWS sounded as the pilot flying was flying a visual approach. A missed approach ensued and another approach using the ILS was accomplished.

Narrative

I was jumpseating from ZZZ1 to ZZZ and the FO (First Officer) was flying to land on Runway X in ZZZ. I did not have a headset on; so I could not hear the Captain and the FO discussing the approach; not ATC.We were and on a downwind and the altitude was 3000 ft. (around 1500 [ft.] AGL). They were cleared for the approach. I could hear the Captain 'instructing;' the FO on when to turn base. The A/P (Autopilot) was still on and the FO set a lower altitude and dialed in a V/S. We really felt low. As I was speaking up about the low descent; the 'CAUTION TERRAIN;' aural message came once or twice. The Captain had to tell the FO to click off the A/P; level off; and add power. I did not see a radar altimeter but the MSL was around 2300 [ft.] MSL and descending.We leveled off and turned final within 5 miles. At three miles; the FO had not called for the gear. The Captain smartly called for a Go-Around. The FO flew a nice go-around. The Captain then asked for vectors for the ILS. They were vectored downwind and the FO flew a textbook approach. The terrain callout was very concerning. It appeared even with the help of the Captain; the FO was not familiar with visual approaches. We were 5 miles from the airport and should have been no lower than 3000 ft. MSL. Later that night; the Captain and I had a very nice productive debrief. He said he will also file a report.