ADDED: Just read your "so what happened" and that makes a difference. You kind of buried the most important point: You have a new baby in the house. He is feeling very uncertain and insecure and what was a pretty normal fear of storms, the kind of fear kids usually outgrow or can be distracted from, is being magnified by his feelings over the new baby. How long did he see a therapist? I would try that again for sure; it sounds like maybe he didnt' go to therapy long enough, and now, any therapist should also be helping him deal with insecurity over no longer being the only child. Also, please, please do not make this fear a reason to discipline him, ever. You mentioned using discipline among many things. But please don't discipline a child for an emotion -- he cannot control his emotions but can only learn to handle them, and treating an emotion as reason for discipline sends a terrible message to him that he should hide feelings or he'll be punished for them. That is not a path you want to go down or he will be a child who doesn't tell you his real thoughts and feelings -- that's not at all good especially as he gets older. If he's truly wanting to spend every day in the basement now, he does need professional help. Please be sure too that you don't get exasperated with him and just tell him to "buck up" and "stop being a baby" or whatever -- that will make it worse, not better. I know having a new baby is stressful and your son is adding to your stress with this behavior but he's crying out for attention without realizing it. Professional help, now, and consistent reactions, not "trying everything possible" so he never knows what reaction you'll give him next. Good luck. A "black and white" child like this will need help navigating life.
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Please dont' leap to medication for a child who has a very normal kind of fear. Yes, it's intense right now, but why are you jumping right to the idea of meds?
Is he in kindergarten? Talk to the school counselor. They deal with fears like this all the time. Ask for some tools--things to say and do to help him understand what he fears. I agree with others who asked: Was there a specific storm that scared him? And do you have the news on TV at times when he might be hearing and seeing coverage of devastating tornadoes?
When you say you have "tried every approach possible" what do you mean? It would help us to know what specifics you have tried. Some meetings with a school counselor, or a few sessions with a private counselor who works with kids his age, could help a lot. He doesn't have to be in counseling forever, just long enough for him to learn some coping skills.
Did this all begin this spring? The horrible weather everywhere could have begun it. Is it possible that kids at his school or preschool have been talking about storms and being scared or about relatives who were hit by tornadoes? Did school do a unit on weather (a pretty common subject in kindergarten) and somehow that got it into his head to be scared? Talk to the teachers, ask about whether kids dwell on this, meet with the counselor yourself and have him see the counselor too. If he's in preschool and there's no counselor, still talk to the staff and see if his teacher would talk with him about it -- sometimes kids need to hear things from someone who is not mom or dad.