Dogs are annoying

i'd always recommend hiring a professional dog trainer however if for whatever reason you're unable to like because of money reasons there's a lot of great videos and advice online for free like on youtube. depending on the severity of the separation anxiety if it's something more mild i'd personally suggest exercising your dog a lot before you're about to go out somewhere as this would tire the dog out and they would most likely prefer to have a big nap rather than running around and panicking when you leave. give your dog something like a puzzle or treat toy to give them a distraction as well, like a kong toy filled with a high valued treat (something your dog goes crazy over, could be things like peanut butter, cheese, yoghurt, etc.) before you leave that will keep them more occupied (you can even freeze the toy with the food in it and then take it out and give it to the dog when you leave as that will take the dog even longer to finish getting all the food from the toy.) remove the special toy when you come back home and only give it to the dog during the times you leave, the dog will associate you leaving as something positive.

if it's something more extreme like your dog just goes absolutely crazy and destroys things or cries the house down when you leave i'd suggest trying to slowly accustom the dog to being alone by starting off with short separations. for example if it's really severe you can start the dog off by maybe putting the dog in one room and closing the door while you stand outside the door for a minute out of sight and then come back in and praise the dog/give them a treat if they stay quiet and behaved. if they're fine with that you can try doing it with stepping outside of the house and pretending to leave but stay by the door for a minute or few seconds depending on how much your dog can handle at the start then come back in (also give them the little puzzle/treat filled toy before you pretend to leave as a positive reinforcement) make sure to wait 5 - 10 mins between every time you pretend to leave. when you leave and then come back in don't make a big deal out of it go in and out in a quiet and calm manner.

you can slowly work your way up with the time until your dog starts to get use to being alone for longer times, like for example if your dog can tolerate being alone for 10 seconds without panicking/crying during the training the next day try to increase 10 seconds to 20 seconds, then the third day 30 seconds, etc. until you can work up to 5 minutes or more, then you can keep increasing the time until your dog slowly becomes desensitised to being alone.