You lead the horse and the kid touches their head, reaches up for the sky, infront, each for the horse's ears, reach for their tail, touch their toes, hands on hips, hands on ears, airplane arms, etc.
Then put them on the lunge line and have them do everything (touch toes is the hardest.. so maybe at a walk only)
Doing that gave our clients huge confidence. (I worked with autistic children, teenagers, even adults including my mom.)
Obstacle courses where they stop in the box (poles made into a square) go around the barrel, weave the cones, etc. be creative.
How much support and trust and encouragement YOU bring to the table affects their confidence too. The more light heart-ed you are, the easier it is for them to relax.
Agree with shooting hoops, holding a ball while you lead, riding with knees meeting at the pommel (tougher with a horn.. so maybe bareback) while you lead. Red light green light games are always fun.
The more fun they have, also, the less they worry. It's ALL about the focus! Works for humans, works for horses