My gelding gets that way, but I calmly tell him "you're okay" while looking him straight into the eye. When he looks back to me, I know he's focused and he relaxes. Then we go to the scary thing to check it out.
I have a horse that gets very nervous, out of her pen/pasture, so I let her eat out on the lawn and take her for walks, and now she enjoys coming out of her comfort zone.