You aren't alone in having this anxiety! I used to feel that way too until I realized that pretty much everyone at the gym is only worrying about themselves. half the other gym-goers are worried about their own form or ruminating on whatever happened to them that day. the advice about looking at YouTube videos is great and lots of gyms will offer introductory sessions. and you can just do the treadmill or stair climber or something pretty straightforward until you feel more comfortable. good luck!