Possible other anti anxiety things to try would be thundershirts, calming chews of various kinds, CBD oil. I have one dog on Prozac right now, another one responded well to a thundershirt (she screamed every night for 6 weeks straight, the thundershirt immediately ended that... and then she ate...
Exposure isn't a bad idea, though for a dog that's randomly reacting to different things at different times, it might be hard to figure out what he needs to be exposed to and when.
My shyest dog wasn't a puppy, but a 2 year old male shepherd mix. He was so terrified that he spent the first 2...