You sound like me two years ago. Going to the gym IS intimidating. The good thing is, nearly any kind of exercise (or any healthy thing you do for yourself) can help lift your mood. It doesn’t have to be some complicated exercise at the gym. I started by going for walks in my neighborhood for half an hour every couple days. That’s about as beginner as it gets. For me the sunlight and being outside are really beneficial also, just as much as the exercise.
If you live in a place where walking outside isn’t safe, you can just walk on the treadmill. Doing that is definitely better for your mood than not doing it. I’ve never tried it, but it sounds like you would be a good candidate for the Curves gyms. These are no-frills, all-women gyms that focus on a set rotation of beginner exercises. They are aimed at people who feel nervous going to a traditional gym.
You could also combine exercise with making friends by joining a walking group on meetup.com. I’ve found that what works is joining something that you can go to at a set time on a regular basis, so you see the same people again and again. Then you can get to know people at a more natural pace.
You might also find support groups for shyness or depression on there, where you can meet women who are dealing with similar things. That could take the intimidation out of making new friends.
A slightly different combination of those approaches is what ended up working for me. I joined alcoholics anonymous and met a bunch of women who dealt with similar issues. AA also comes with some very basic, daily survival-level tips about lifting your mood. They call it “HALT” (hungry, angry, lonely, tired.) If you’re feeling one of those things, take steps to fix it and then re-evaluate your situation.
I’m starting to see that you can also do preventative maintenance on depressive moods. Make sure to get a good night’s sleep every day- BEFORE you feel tired. Eat healthy, nourishing meals that are full of fruit, protein, and vegetables, rather than starch, simple sugar, fast food, soda etc. Stay properly hydrated and don’t overdo it on caffeine. Reach out to someone before you feel lonely- online works too. Being nice to people is a great cure for loneliness, even if it’s something simple like thanking the bus driver or giving a cashier a friendly hello.
And also, you can do all this stuff in baby steps. Then afterward, congratulate yourself for doing one new thing to help yourself. My muscles were aching after work today so I took a hot shower. For every small thing like that, you can be like, “Yay, you did it!”