Maybe I can chime in as when I brought my little shihtzu home, he was scared of almost everything, including the wind. I have worked with Pippin extensively and still do to this day. We have worked in busy down town Toronto, I have worked him during parades, cultural events and even had him do a focused down-stay in the middle of a DJ arena. All those dancers and screamers provided excellent distraction and Pippin did amazing.
1: Keep your dog under threshold and minimize potential stress-inducers. Many people feel that socializing their dog is the first step to having a confident dog. This includes taking the dog to puppy class or the dog park. This can actually put more stress on an introverted or self-conscious dog. My dog is 8-years old and is now bullet-proof in most social situations but I am still hesitant to put him in his first intermediate dog class as sometimes you get dogs (and owners) that do not know boundaries and will let their 5 month old husky puppy smother your dog in the name of fun when in reality, your dog needs to be left alone.
2: If your dog isn't food motivated, you will have to build motivation and engagement in your interactions with your dog. At first Pippin wasn't confident in his environment and therefor wouldn't take food. I even made him a raw food bites and he still wouldn't take it. I was making the training sessions too long and I was asking to much from him. Keep your training sessions two minutes and under and don't end the training session when your dog tunes out. End it while the dog is still engaged so you are ending it with the dog wanting more.
3: Don't ask to much of your dog. Reward with verbal, food, toy, or physical praise. You have to make sure to know which reinforcement the dog likes. If the dog hates being touched, a physical praise could actually be seen as a punishment in the dogs eyes and may decrease the behavior that you actually are working to increase. Look for what turns on or drives the dog. It could even be a squeak toy sound.
4: Keep the dog learning in a very simple and safe environment for now. This includes training in your kitchen, living room, or a bed room. Taking your dog and trying to get a nervous dog to preform a down-stay in the middle of a busy store or a dog park puts to much on the dog. Keep it simple and keep it safe.
5: Hire a dog trainer. Make sure the dog trainer has great reviews and for an anxious dog, I would focus on a dog trainer that uses positive-reinforcement techniques. Confident dogs can handle punishments a bit better, but in your sake, focus on finding yourself a dog trainer that will work one on one with your little dog.
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Best thing to do imo is gjve them space and let them settle. Portray confidence as a leader, always be relaxed. Give love, but dont smother. They will come around...