J.
I don't know, but you aren't alone. My 7yo is similar. Like most people, I've known some adults with the same problem so it's a big deal to me that he learns to work through his fears and to keep on going even when he's discouraged.
Which is easier said than done, I know. We have tried to keep the consistent message that when you commit to something you have to see it through, but I have also used rewards to get him to finish things (he wanted heelies for his birthday and I told him he had to finish ice skating lessons to get them.)
What I don't know how to do is to get him to feel more confident. Recently he was on a soccer team, his first time, and he was not one of the greatest players. He was OK, but he was also easily discouraged. So after the season we signed him up for a skills camp (probably should have done that first) with the idea that with proficiency will come confidence. I'm not sure if that was successful, though.
I'm also signing him up for martial arts starting in January. Many people have suggested it to me as a confidence and character-builder for boys.