Fear, especially fear around being alone or going somewhere alone, can be a real challenge for a child. The best thing you can do to build his confidence so that he can challenge these sorts of fears, is to spend daily Special Time with your son.
Just set aside a period of time, short or long, whatever you can carve from your day or week. Say, “Hey, tomorrow I'm going to have ten minutes after work, and we can do whatever you want to do! Think about it, and we'll do it!” Then, when that times comes, enthusiastically go with whatever activity your son chooses. Jumping on the couch, building a fort in the living room, making pancakes, going outside and playing catch. His choice. Whatever he chooses, you just love him, make lots of eye contact, touch him affectionately, and energetically throw yourself into the play. Set a timer, and don't let anything short of an earthquake interrupt your focus on your child. When the timer goes off, let your son know you loved being with him, and let him know when the next Special Time will be.
As your loving attention soaks in during this daily moment together, his confidence will increase and he'll be able to do lots of things on his own that he couldn't attempt before.
There are lots more suggestions in the articles included here.
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Hand in Hand Parenting