We Have A Dog That I Believe Is Suffering From

We have a dog that I believe is suffering from anxiety. He is well behaved in our presence but at times when we are gone, particularly when bad weather comes and he is in the house with our other dogs, he tries to escape and has become destructive. He is a red healer who stays in the house all day with three other dogs, a large mixed breed and two Chihuahuas. He has not attempted to hurt any of them but he has become destructive particularily in bad weather. What can I do?