"I'm scared, Jesse. I'm too scared." "'Course you're scared. Anybody'd be scared. You just gotta trust me, OK? I'm not gonna let you fall, May Belle. I promise you." (13.21-22)
Jess finally realizes that it's all right to "be scared," and tells May Belle that too. There are some circumstances that would scare everybody. Even though they're both afraid, that doesn't stop him from acting bravely. We could argue that he actually acts more bravely because he's determined to deal with the circumstances and overcome his fear.