For example, in my native language we don't have the 'th' sounds from English. Most learners approximate the voiceless 'th' with 'f' ('fing', 'frow') and the voiced 'th' with 'z' ('zis fing', 'zat fing'), because they don't even know what to do to pronounce the real sound.
Even worse, many consonants and vowels have variations between languages even when they are recognized as the same consonant. R is a famous case, but for example, the Slavic and Latin 't' sound is harder than the English or German 't' - I pronounce my native t with my tongue closer to my teeth than when I'm speaking English.
However, one someone points out the specific differences and helps you practice the right tongue movements, it's generally easy to replicate if you're pacient and try for a while. There may be exceptions, like learning to roll your R sounds, to vary pitch or learning click sounds (haven't tried any of these myself, so maybe they're not that hard either).