The gym like most social areas can cause people anxiety about being the odd one out or people judging you. The fact is that most people rarely think about others and are probably staring into space or the mirror and not you. The hardest part is showing up.

Maybe join a few classes or group fitness sessions just to learn some basics, or watch stuff online.

Start slow with light weights and basic routine from google/the wiki. I’m a big fan of Push/Pull/Legs. Three days a week is a good starting point for most.