
My son used to walk to his second junior school on his own; the first was two miles away with no footpath, so not feasible, but the second is less than a mile, so no problem. And he and his friends used to go out and play 'dens' totally unsupervised from about 10 years old. Yes, you worry, but you can't 'cotton wool' them. They have to learn to make decisions and assess risk for themselves - certainly before the time they go to secondary school.
Edit: When he and his friends were in the scouts a group of three of them aged 11 and 12 did a five-mile walk across country then camped out, cooking their own meal, to earn a particular badge. All unsupervised.