You must accept that you are the parent of a transgender child.
Stop thinking that it's just a phase in their lives they will "get over." Don't try to convince yourself that it will fade away. The more you are in denial of the reality of things, the more your child will suffer. If it's hard for you to accept it, look for help so you can process it, because your child needs your support.
Don't force your child to change.
Remind yourself that it's not a choice, it's their nature. Even if your pressure isn't directly aimed at them, it could be that you fall into the temptation of making comments or insinuating that they reconsider saying that they are transgender.
Be their shield. Help them learn how to deal with rejection.
The rejection and judgment from society are inevitable, but when children feel accepted by their parents and are given the freedom of being themselves in their own homes, they will be able to handle the barriers of public rejection a bit better.
Allow children to play however they feel like playing.
If they choose a game or activity that is viewed to be for the opposite gender, let them be. Give children the opportunity to explore their world and their imagination in a free way, and allow them to feel comfortable within themselves without worrying if the games or toys they choose are for boys or girls.
Avoid the risk of depression due to constant rejection by seeking professional help.
Symptoms of depression include loss of appetite, refusal to go to school, crying a lot, and sleeping a lot. Depressed children can feel incapable, and their grades can go down in school. These could all be signs that they feel stigmatized and judged in their environment.
Get well-informed about the topic.
Do your research, and speak to experts. Find out what measures are being taken at your child's school to educate students about equality and respect for sexual orientation and gender identity.