Ah, arn't horses fun?
Take him a few feet away from the others, then take him back to them, back and forth on lead. Each time take him a few more feet away, then back. Do this for at least 20 minutes a day for a while. Until he settles down, and realizes he can leave them, and he can go back to them, that they will be there, and he will return. Once he is ok with being away increase his away time. It may take a bit, and he may or may not always dislike leaving the barn, but he will settle down and learn that he will survive!
My girl isn't heard bound, but she gets disturbed at leaving her corral.

She just has to be different!