I wonder if a propensity to believe in conspiracy theories is a maladaptive coping strategy for relief of anxiety in those with a lower threshold for activation of their amygdala with associated release of cortisol, i.e., a fear/disgust → stress response.
Such a lower threshold has been shown to have a strong positive correlation with those who hold conservative values, i.e., resistant to change/preference for tradition.
Such a propensity for buy-in to conspiracies might be explained, in part, by a deviation from a cognitive median sufficient to imagine a possibility, but insufficient to consider it critically, and/or reality test it. Of course, those are skills which must be learned, and given the potential for it to be a maladaptive coping strategy, most subjects would be necessarily unwilling to learn them, as it would reopen the potential for the experience of personal distress.
Also, inasmuch as activation of the amygdala contributes to self-preservation and avoidance of threat/danger, it makes sense the cortex might work to find a reason or explanation for the more archaic brain systems which operate below conscious awareness. That such an explanation might be grounded in a narcissist framework might be explained by the origin of the experience within the self, as well as the self-controlled higher brain finding the way to internal safety (and the return to a more normative cognitive-emotional homeostasis, albeit one which must be defended because it is based upon a subjective truth, not objective fact).
Worth consideration would be psychometric values and profiles from clinically-validated tests like the Big 5. The above might cover Neuroticism, but I can imagine Openness to Experience being a contributing factor. Also, repeated exposure to programmatic material, as well as social engagement and reinforcement, likely have the greatest seed influence, social monkeys that we are.
Cheers,
Ian