I think Bletchleyite has cited a key issue:
Most stations were built 150-ish years ago, which is ample time for a city centre to shift considerably, so I think the question would be better phrased as, why didn't the shopping centre in Bristol naturally move to be near the station. I suspect a key factor in general is that the city centre will tend naturally to move to where people who wanted to shopping could easily get to. And for most of the last 150 years, it wasn't really normal in most places for people to go shopping by train, which may mean that in many places, there was really no reason for the shopping centre to move close to the station. Interestingly, if you look at the large towns where there is an extensive suburban rail network - London, Birmingham, Liverpool, Manchester, Glasgow and Cardiff - you find all except London have the shopping centre very close to the main (or one of the main) stations: I'm guessing that's because in those towns, the large urban rail network meant that lots of people would travel short distances by train, hence there was an incentive to build shops near the station. The exception to that - London - can probably be accounted for because of the tube network (notice that the biggest shopping area - Oxford Street) is sited by several tube lines, and by there being so many main rail stations, so no single exclusive hub.
In other towns, it's probably to some extent down to chance/luck whether the shopping centre evolve to be close to the station, although there are probably other factors: How well the buses integrated with the train, how far from the town the station was in the first place, and local planning decisions made through much of the 20th century when rail access wasn't much of a factor in decisions. Planning has possibly been key factor especially since the 1950s when decisions were being made on how to rebuild some cities following WWII destruction, and in many cases, whole new pedestrian/indoor shopping centres have been built, so much would depend on how much individual local authorities erred towards train vs bus vs car. I don't know Bristol enough to know how those factors might have played out there?
And this is a good example of where local planning decisions made in the 60s etc. would influence things heavily.
EDIT... Just thought of Brighton, which is a counter-example to my arguments. Reasonable local rail network with historically quite frequent services, but station not as close as it could be to the main shopping area. I wonder if in that case the reason might be the pull of the seafront, with the town centre tending to move towards the sea because that's where tourists would want to go?