From Muppet Wiki

Cousin Bear appeared in Episode 3927 of Sesame Street. He is Baby Bear's visiting cousin. He's afraid of monsters, and refuses to play with Baby Bear's friend Telly Monster. Cousin Bear finally learns that monsters aren't scary and that he can have friends who aren't bears.

Cousin Bear also appeared in Episode 3987, where he slept over Baby Bear's house and becomes terrified of shadows.