Unfortunately some dogs do suffer severe anxiety from the noise of thunderstorms. If your pet is only mildly anxious then providing a secure safe place to hide can be all that is required. Try not to react to your pet's anxiety as this can actually make things worse. Instead try to continue your routine as normal.
For mild cases of thunderstorm phobia some dogs may respond well to the use of pheromone collars or specifically designed coats (e.g. Thundershirts).
In moderate to severe cases of thunderstorm phobia we may prescribe anti-anxiety medications. There are a variety of options available and your vet can discuss these with you in a consultation.
One of the most effective treatments that can be implemented is desensitization. This involves playing the problematic noise (e.g. fireworks, thunder) very softly in the background at home and gradually increasing the volume over a period of weeks to months. This process takes time and patience but can be extremely effective.