A foundation piece of self-esteem is a child’s growing sense of skills and abilities. Are they being challenged? Are they learning new things?
An easy way to build this in is giving challenges in play. If they are building with blocks, challenge them to build it taller. If they are climbing, challenge them to do it in a new way. If they are playing with play-doh, challenge them to make some new creation. As they rise to meet the challenge in play, they are learning to take on challenges in life.
Another way to provide this is to enroll them in classes that provide new levels of challenges as they progress. This would include sports, musical instruments, cooking classes and foreign languages.
For self esteem, it can be helpful to focus most on their individual progress and their skills rather than the competition.
Once they are school age, a version of this would be to have them teach you one new thing they learned in school each week. This is a challenge to remember something and be able to explain it in detail to you. For challenges to be beneficial in this way overtime, they don’t have to be big. These can be small challenges given regularly.