Adjusting to being alone is a major task for your puppy. He's probably never been alone before, and his basic fear is that when you leave, you won't come back. It's important to begin immediately to teach him how to manage on his own.
When you teach your puppy to accept his crate as if it were his den, you'll be able to put him in it when you're out. (Remember to let him relieve himself first, and make sure he has a chew toy to play with.) Get him used to his crate by staying close by the first few times you put him in it. Then, begin leaving for short periods, working up to longer periods as he appears to become more comfortable in it. Establish a set routine for your departure and have your puppy watch:
Separation anxiety occurs when dogs become so attached to family members that they become anxious when those members aren't around. Encourage your puppy to be independent by discouraging him if he constantly follows you around the house.