One of the way that training in the martial arts helps children to become more confident is by showing them how to set and accomplish short-, medium-, long-term goals. This done through the progression of belts. As a child experiences success in training that success naturally transfers outside the school as well making them more likely to set and achieve other goal. Remember success is the backbone of confidence.
Martial arts training also helps children face their fear in a safe, nurturing environment. As a child learns to defend themselves, they become less threatened by those around them. Then, instead of myself, "I'm" strong. I'm confident; I am a nice person, but don't mess with me.