The first “don’t fear” addresses the fact that things aren’t always as they appear, but truth will be uncovered or revealed. This is one of Jesus’ most highly attested sayings, appearing in Matthew, Mark, Luke, and twice in non-biblical “The Gospel of Thomas:” “…nothing is hidden that won’t be revealed” and “…nothing covered up that will remain undisclosed.”
Second, “don’t fear those who can kill the body, but not the soul,” suggests serious persecution. One doesn’t tell people not to do what they aren’t doing. Half way through his public ministry, does Jesus intuit where it will end? The “soul,” the psyche, was life’s vital principle, the seat of thoughts and emotions, what Thomas Merton in New Seeds of Contemplation described as the “True Self.” The good news is that what is essential about humans is indestructible. Only God could destroy both body and soul because God made both.
The third “don’t fear” follows from the second. The disciples should not fear because God cares continually about what God has made. Sparrows were common, inexpensive food, two for an assarion, about half a penny. Jesus liked little birdies, and often used them as illustrations. Twice in the creation stories in Genesis God makes birds (1:20, 2:19). Here, the Creator of birds is their Sustainer. The laws of nature are not outside the mercies of God. Jesus is a realist. Sparrows do fall to the ground, but even the most ordinary birds, are not beyond God’s notice. Surely those who follow and proclaim God’s Son are more valuable than sparrows.