Getting up the nerve to order in a coffee shop used to be difficult for 16-year-old Georgiann Steely. Speaking in front of classmates was unthinkable.

The high-school sophomore overcame a crippling case of social anxiety as a patient in the Child and Adolescent Anxiety Disorders program at the Mayo Clinic in Rochester, Minn. Therapists there use an innovative approach early in treatment, gradually exposing children to things they fear most and teaching parents to act as "exposure coaches" rather than enable their...