I had to do this with mine when I first got him. First you should determine "how" his brain works. I used the Parelli Horsinality Chart (Working with Your Horse
For example my guy is a right brain extrovert which basically means he has a high drive and easily stressed. My job is to find ways to introduce things to him without over loading him. Once I learned his stress signals it was time to help increase his self confidence.
I started with things that scared him (everything at first). Just go slow and back off immediately the first sign of distress. It's all about the dance between applying pressure and releasing it.
Your horse will gain confidence by overcoming his fears in a safe situation. It also establishes your horses' trust in YOU. Knowing that you'll never place him in a bad situation goes a long way.
It works like a snowball, after you conquer some small things the confidence grows faster and faster. Don't worry about a setback, they happen, it's life. Just go back to your last success and try again!
Good luck, your patience and hard work will pay off in spades :)