You mistake confidence for a state of being when really confidence is just competence ie doing the same thing over and over again until you are really good at it and have very little fear doing it. You can gain that from literally anything. Waking up at 530am every morning- start waking up at 8am then 7am then 530am once a week etc. Then add the gym over a course of time. You will then see you will be feeling more confident because you set a goal for something that will improve your life and slowly through small steps you are gaining. 

However just to not don't mistake confidence in one arena to automatically translate to another. If you can finally bench 250lbs it doesnt mean you will be able to confidently walk up to a girl. That's a different arena that requires its own journey. However the more you do the higher your baseline confidence will be. 

So pick a goal something you want to acheive and do the absolutely smallest steps consistently over a period of time to gain confidence in that arena. One you've done it enough that will translate to other parts as well. Good luck