Colorado Martial Arts Academy has classes for children as young as 4 years old. At such a young age, we set goals with our parents for how many minutes in a session, they'd like for their Little Dragon to participate in the class.
This allows our younger kids an opportunity to be independent, while still having the security of Mom or Dad should they feel the need for a break. :-)
By the time a child is 5, they're able to maintain focus for the full session. Parents can stay and watch or run errands as necessary.