I'm kind of in agreement with the 'take a breath and relax' camp, myself. That said--
REAL EXPERIENCE: my son (5) sometimes is challenged by some puzzles. His challenge is having to repeatedly focus on discrete objects. He has trouble with his eyes-- not vision acuity, per se, but with the ability of his eyes to work together (eye teaming, as the doc calls it). His diagnoses are 'ocular motor dysfunction' and 'convergence insufficiency' (his eyes have a harder time coming together to focus on things that are closer to him). This was determined after an evaluation with an eye doctor who was recommended to us by an OT (who we were mistakenly sent to) and we are doing eye therapy to improve his convergence and to supply correct biofeedback to his eyes/brain so he can learn to work with the ocular motor dysfunction. He also has a 504 plan.
This is not what I would wish for any kid or parent, however, if you think there is a vision/eye function issue, I would encourage you to check it out early on, and that's why I include this, because a lot of kids are diagnosed after they are having other troubles with learning in school. I'm not saying this is your situation, but do want to give parents information....
The best insight (from my time teaching preschoolers) I can give you is to keep the puzzles simple and fun. Start with very, very simple puzzles, ideally younger than what is "age appropriate". You do want to be very patient with him and give him opportunities for mastery and success, so he will feel competent enough to work at the harder puzzles. What I often did with the kids is to start with floor puzzles that go in a row, instead of a picture puzzle; this way, there are only two options as to how things fit instead of four. (only two sides connect.) Do this with him, provide lots of encouragement, note similarities where pieces should connect....and then, be patient. Once you are seeing success, move to larger picture floor puzzles or the 'tray' puzzles (fit into a tray) with clear pictures--not too 'busy' visually. If there are too many pieces, presort (for example, with my barn puzzle, I would separate the blue silo pieces and the red barn pieces, and then have my son build the silo first; the red barn pieces would then be sorted into 'mostly red barn' and "mostly animals in the barn' and we would work on one of those areas). Here, you are teaching him to sort similar pieces and again, keeping it simple, you are helping him build confidence to continue and to provide a sense of pride and competence. When the puzzle is completed, leave it out for the rest of the day. Kids are proud of their work.
And so on... with each new level of challenge, offer lots of encouragement and support. Be very, very patient. My strongest suggestion is that to keep it fun, you have to lay off. No pressure. If you see him getting stressed, just take a break and come back to it in a while, a day or two even. Choose puzzles that correspond to an interest of his. My son could care less about lambs and cute trains, but will happily sit down to work on dinosaur puzzles. At four, he was pretty challenged by puzzles; at five, he's still challenged but right on track for who his is and his abilities. A lot of stuff happens between those ages. (FWIW, he didn't recognize a single letter or number at four and is proficient at five and a half. All that to say, they do usually get it--just that it's usually in their time, not ours.)