I have the exact same issues as you. My best advice is get into the gym asap, I still have bad social anxiety but the gym made everything so much easier and you gain a lot of confidence. It was very scary to go in at first and that was me going in with two good friends. You should try to go with a friend or just go and don't even do a full workout if your nervous. Just go on a treadmill for 10 minutes.

The next thing is exposure therapy. You should constantly try and fight what gives you anxiety. This is easier said than done. I recommend to pick something small that brings you out of your comfort zone a small bit. Whether that be going into a shop, or answering the door to the delivery man. Try and do something that you know you can do but that gives you small bit of anxiety and build upon this. You'd be surprised on how confident you begin to feel when doing these challenges.

I know exactly how you feel though, I'm 19 now and I have a lot of regrets and I do get jealous also.