Does the horse want to turn and go back to the barn at all? I have had a couple of horses who were not necessarily anxious but really wanted to go back home. You may also look into "sacking out" the horse. John Lyons and Pat Parelli have some good information on doing this. You want to do it safely because the horse may become frightened but they get used to and calm down. You don't do anything to harm them, just get them used to things like plastic bags and other stuff that seems scary to them. One of the best ways my horses learned to calm down was just from being around a lot of commotion. Taking them to the fairgrounds during shows and just letting them hang out really calmed them down. The farm animals at my boarding barn helped a lot, especially the pygmy goats. The more they get out the calmer they will become.