Try learning from the end. Learn the last bit first. Then learn the bit before it, and play through the end part you already know. Repeat, adding earlier bits.
So, let's say your song has five parts, ABCDE. Learn E first. Then learn D, and whenever you play D, play E after it, so you're playing DE. Then learn C, and play CDE. And so on.
That way you don't get caught knowing the first bit but never getting to the second bit, and your confidence ought to improve as you go through a song. Try it