Pets, like people, all react differently. My cats over the years have not cared much, but my friends with dogs have reported varying success with the methods mentioned here - Rescue Remedy, thundershirts, etc.

Behave normally. The dogs will react to you.

Close windows, doors. Like other's mentioned a loud TV, Chewies, blankets. Keep them close. ♥

Dogs that are afraid of loud noises are gun shy ! it can be bred out of them but not cured. Security people ( polie/army et.) cannot afford to have gun shy dogs. They should be tested before you get them if that is what you want. ?

People have had success with some dogs with "thundershirts". That or if it's REALLY bad "rescue remedy" can help. Anything past that idk.
Our old girl used to get SUPER upset over storms & fireworks....
Brought home our bomb proof boy & she's a different dog now. Some dogs DO learn from each other, for better and worse.
Otoh SHE taught him that rain is acid and will burn you. LOL
When we brought him home he didn't care about going out in the rain.
(he's still better than she is about it tho). They'll hold it all day if it's pouring out.