I think he just needs time.
Many times the first few weeks are hard because the puppy is adjusting to his new home...its hard for us to hear them cry, but if your pup has everything they need its best to leave them for short periods of time gradually extending that time. I know a lot of people like pups to always be with them but you also have to teach them it will be okay when you are gone. Many pups have anxiety because they aren't comfortable being alone, if you do it gradually they will be just fine. Remember it takes time and they are just pups and need reassurance.