Use agility to build confidence in your dog
A shy dog can only learn when it is inside its comfort zone. So all training must start where it feels safe, and all learning must be done in small increments. The best place for training and learning is probably the home.
So, how do you train at home? You will need guidelines and equipment. There is a multitude of websites that can give you information on agility training. There are also books and videos that will give details and visual aids and lesson plans for beginners thru expert levels.
The equipment has to be safe and sturdy when training a timid dog. A good place to start your agility training is a pause table. A 12" high pause table (preferable with adjustable legs) is a great starting point for dogs in all sizes. Setup the table in an area that the dog is familiar with. If your dog is the type that barks at everything new, you can leave in the house or yard for a couple of days before using it. Then the dog can inspect and smell it. Remember you need to use baby steps with an insecure dog.
With treats in a dish or his favorite toy placed on the table encourage your dog to get up on the table. This may take more than one lesson, be patient. If your timid dog looses interest in food or toys when you attempt something new, trying holding him and you sit on the table. If your dog is too big to hold, have him on leash and you sit on the table. If he backs away coax him, only treat or reward him when he comes to you, never when he's pulling back away from you or the table
Eventually, you want your dog to be able to jump on the table with your cue word like Table (or whatever word you use), Stay to have it stay on the table as you back away and then Come when you call. Build your distance slowly so that your dog is not pushed too soon.
Following the above instructions, you can slowly introduce new obstacles. When it is able to succeed new pieces of equipment, you will see its confidence grow.