CRJ-900 Captain reported while being vectored for an RNAV approach ATC changed the approach to a visual approach and the flight crew needed to adjust their flight path resulting in flight towards terrain. The flight crew executed a go-around and landed safely at the airport.

Narrative

Was flying into ZZZ and was getting vectored for RNAV XX the heading we were on had us flying direct ZZZZZ with the airport to the left of us Approach Control asked if we had the field in sight and I had the line check airman (LCA) advised them that we did. We were then cleared for the visual. I was at 5000 feet and was given a descent to 4000 feet so I started my descend down. The angle I was heading to ZZZZZ at assigned by ATC before clearing me for the visual was not going to work so I elected to turn right and extend my downwind a little to give myself a better turn inbound. (We were south of ZZZZZ). While I was on a 90 degree base leg for the approach I noticed the terrain ahead which we had briefed earlier at this point I started to make my turn onto final and was maintaining visual from it. We were above the terrain but the FMS wasn't yet captured but we were on an intercept to ZZZZZ and our altitude was 4700 at this point and were descending to 4k we then got a terrain callout and we went around. On the second attempt we requested the full approach and landed. After landing ATC gave us a number to call and requested more information from us and we told them what had happened.