My horse used to do that too.
It didn't take too long to fix though.
I'm not sure how long you have been doing this with your horse. I'm going to assume you are just starting?
Is your horse fine with the walk and trot transisitons?
Remember to always start your horse out walking. Work on a good whoa.
Change directions often. Have your horse walk until you see him relaxed. Don't go to a trot even if he is excited or nervous.
Only have the horse do at most 3-4 circles before switching directions.
When he is good and relaxed at the walk add the trot. Same thing for that.
Mix it up, use voice commands. Have him walk, whoa, trot, walk, whoa etc. Mixing it up as you go.
ONLY when your horse is relaxed at both of those gaits, ( this can take several days ) ask for a nice lope.
If you are in an arena do it near the gate at first. Make it easy on you and him. You will gradually with time move away from the gate.
Make sure when you ask for the canter you are not over asking. What I mean by that is gently kiss, don't start kissing like a love sick cow! LOL Gently move your stick and string towards his hindqtrs. If he doesn't move out get a bit more aggresive. Do it in stages.
Again, do transitions. At first he might go into the lope like a banshee, but, the more you do it, the more he will figure out it's not something worth getting excited about.
Ideally you want to ask for that transition when you see your horse relaxing.
If you really concentrate on the walk/trot first you should see a huge improvement when you get to the canter.
Don't worry about how pretty it is at first.
And ALWAYS end your lunging session with him at a nice relaxed walk and whoa.
Edited to add:
I just re-read your post. It seems like your problem is out of the round pen.
Start out having a great lunge in the round pen, if it's not good there, it will be worse out of the pen.
And then start just outside of the round pen. Working your way away from it in stages.
Always go back to the previous comfortable stage if he's getting too worried.
Last edited by Horsegma; 03-03-2009 at 08:16 PM.