It is not unusual for young children to develop fears or phobias that though odd to an adult, are very real to the child. These fears typically go away as children age. What you need to focus on now is helping your son handle his fear of cowboys. You can do this with reassurance, understanding and patience.
Reassurance: Let your son know that it is perfectly OK to not like something that others like. When he has themed days at school, talk to him about these special days beforehand. Allow him to talk about how he feels about these days and to participate as much or as little as he likes. Do not push him or make his participation mandatory.
You will most likely see him make the adjustments that he needs so he feels good about the situation. This, in turn, will foster increased participation in different activities and events. Validate his feelings and know that his feelings can change over time.
Understanding: Try to put yourself in your son’s shoes in order to view the situation from his perspective. When he talks about this incident or others, repeat back to him what you hear him saying to make sure that you understand his feelings accurately and what exactly he meant to say. This shows that you truly want to understand how he feels and what he thinks. He will feel more secure knowing that he has your support. When he is frightened, he needs to feel that he has extra support.
Patience: Allow your son the freedom to get past this in his own time. Encourage progress you see along the way, telling him what a big boy he is becoming. Positive reinforcement will boost his self-confidence. Working through fears, remember, takes time. Afford him this time.