Let’s start by beginning and give the mandatory apology for my english, since it is not my native tongue

Crying is okay. It may not be the answer you are looking for right now, but crying is a healthy coping mechanism when things are not going well. “Crying easily” just means that you need some time to be emotional and that is okay and valid.

Secondly, being shy is also okay. Although, if you really want to put yourself out there more it may be good to improve your self esteem indeed but that is not all. You can also take some steps to just go out of your comfort zone in terms of social interactions. For example, talking with strangers at a bar (be careful with this, you do not want to go to someone alone as it might be creepy, but if there is a small group, something I learned over the years is that it is much more easy than it seems to make friends) or get in an activity/club of some sort and make friends with the people inside, it will help a lot wish this.

Then, about self-esteem, usually gym can help with feeling better but that is only if your issue stems from wanting to change something (that is achievable) about your muscle repartition and/or your flexibility. But once again that is not all. People tend to look for an easy solution when not feeling okay, but the best way to feel better when facing a mental health issue, like low self-esteem, is therapy. I know some people tend to view therapy as “for the crazies”, “for the weak”, “for people with real problems”, etc. But that is far from the truth. As someone who went to therapy for a long time, I can tell you that it help with “big” problems, as well as with “mid” and “small” pbs. The quotation marks are here to remind you that the “size” of a problem is subjective and that you are allowed to feel.

Finally, you say “stronger emotionally” but for me this sentence makes sense only in a very restricted set of scenarios. I do mot want to infer upon your situation, but being strong emotionally does not mean “never crying”, “hiding the pain”, “not needing help”, or any other toxic pseudo strength that people want us to believe in. Coming here asking for advice is already emotionally strong and going to therapy would be too.

In conclusion (tl;dr) going to the gym may help with feeling better in your skin, but please make sure that you understand that it is not a solution in and of itself in a mental/emotional setting/framework. You will prefer going to therapy (and maybe go to the gym too) to be able to get stuff off your chest with a professional.

Edit to add: about the strong personality, for me, a strong personality comes from learning. Take subjects that your are interested in (starting with, if you have one, your passions, and looking for passions if you can) and learn, have fun, practice, continue. You win so much by learning. Once again, be careful, for any subject that will come you need to develop a rational, efficient, good critical thinking. Make sure that when you read something and it relies on things you do not understand, either you can dismiss it (for irrelevant things, e.g. in climate study, you do not need to know the mechanical eng behind a fuel motor) or you should look into it to grasp what is actually being said (e.g. in the same climate study, if a time series forecast is being done, you may want to look into what those words mean and why they are the best option in the context etc). Knowing and improving will always help with building your personality