To [tag]be a baseball coach[/tag] is a multi-faceted job that requires you to be a [tag]baseball[/tag] [tag]coach[/tag] as well as a counselor, teacher, [tag]mentor[/tag] and friend. 
If your player does open up to you immediately and wants to talk, LISTEN. They are not necessarily asking for advice, and if you give it too quickly, they will not return to you when they need to talk, because it will seem as if you are only interested in fixing things instead of understanding. They probably have lots of people in their lives who want to fix things but very few who want to listen, so you may be able to provide them something they get nowhere else.
If your player raises a serious concern that affects their well-being, safety, or personal health, bring it to the attention of the parents. If the parents are causing the harm, speak to the school or sponsoring agency for the youth sports league and follow their advice for handling the situation. It is not your job to alert Family Services or any other government organization until everyone involved has a chance to explain their actions and correct the problem.
Sometimes, all your players will need is a friend. Take an interest in their other activities. Ask your players about their school sessions, their other sports teams, or their other hobbies. You can play easy “ice-breaker games” at the start of every [tag]practice[/tag] to get to know your players better and loosen them up. An easy game is “Good Day/Bad Day.” Each player says the best and worst thing that happened to them during the day. It gives you a chance to see what is happening in their lives and what might be affecting their practices or their performances.