Normal. Little kids are sensitive and empathetic when strong feelings are being expressed (especially by other little kids), and they don't always know what to do with the strong feelings, so they often scream or cry, too.
Plus, some kids are startled, scared, or just plain overstimulated by sudden or loud sound of any kind. I have a friend with an autistic son who is so bothered by almost any loud noise that he'll bolt, blindly running and screaming. She got him a pair of earmuffs to block sound, and he does much better. Not all kids are that reactive, thank goodness.
It's not a good idea to try to talk your son out of his emotions, which are appropriate and normal for his age. We don't want to teach our kids to deny their authentic feelings or repress their empathy, because they'll need to be in touch with those for many future situations. Help your son experience his feelings when they arise by hugging him and just observing the feeling; "Oh, that got you feeling sad / scared, huh? That's okay. Let's go do __________ as soon as you're ready, all right?"