It’s a common place that children learn what they experience. So if you don’t know how to start building your child’s self esteem, then you should show exactly these: your positive sense of self and your self esteem. You should let the child know that it is OK to speak good about the positive things you accomplish and about your best values.
Praise often. Your child will feel much more confident, if he feels appreciation from adults. Try to find something good and praise him for that, every day. It is true children can sometimes be impossible and drive everybody crazy, but even then, there must be something good they did that day.
When your child is feeling depressed or sad, be patient and talk to him. Listen, but don’t criticize. If the child will get the impression that he’d get punished every time he expresses his real thoughts and feelings, very soon he’d learn to shut up, and you’d never find out anything from his private universe.
Teach your child that setting goals and pursuing them is important. Help him, by setting up small projects to do, then follow up their course.
Last but not least, the child should know that you love him, so you’d better be telling him that every single day.