Bond, bond, bond! Show him that he doesn't need another horse near him to have a friend close by. Spend time with him when other horses are around (so that he's not panicking) and groom him, talk to him, show him how much you care. That way, when he's alone with you, he should be calmer. Remember, it's going to take time so don't expect miracles straight away.

When he's alone without you around, then try stable/field toys. You can get loads of different ones, especially from the Likit range. Experiment and try different flavours ect. to see which ones he likes best.

Finally, you could have a CD playing some sounds in your horses stable while you are out. I know it sounds daft, but seriously, it would distract him and he might like it! Use a variety of sounds so he doesn't get used to them and revert back to his old habits. This might also help him if he's spooky to get used to everyday sounds!

I hope this is of some help!