i have never left my dogs in the backyard unattended. a dog can dig under a fence if they want out bad enough. i stand behind the screen door and watch them when they are outside. if they even have a look like they are looking for a way out or want to dig i'm out that door immediately. don't let him in the garage. i'm no expert but just sounds like he needs more supervision and work on his confidence.
as for the being afraid of everything, more exposure to these things paired with obedience classes will help. agility classes are also great at building confidence.