I definitely have problems with shyness, social anxiety, and low self-esteem, and have my whole life. But I also think I've had some significant improvement over the last year. I can't afford therapy so I've had to make do without and I can tell you what I think has helped me lately.
Mainly, doing a lot of work -- reading books, journaling, and just thinking long and hard about WHY I got this way in the first place. Lately I've been asking myself, if I do take a chance and approach somebody for friendship or romance or a job or whatever, what is it that I'm so afraid might happen? And the same answers keep coming back. Rejection. Or even worse, being treated like I'm nothing, a complete nobody, like I don't matter at all. So it's easier just to stay at home and not risk being hurt like that.
So I kept thinking, WHY? Why is this such a huge trigger for me? And I realized that I pretty much EXPECT other people to treat me like I don't matter. Again I kept thinking, why why why, and I think I've made some breakthroughs in figuring this out for myself.
Of course I still have a long way to go, but I think it really helps to have a conscious awareness of why I got this way in the first place.
I agree with what has been said about taking one day at a time. The only way to tackle any major job is a little bit at a time. I would also say, do whatever you can every day to TAKE CARE OF YOURSELF. Try not to get so hung up on what you think you "should" be doing or what your life "should" be like. Do whatever you can to make yourself feel happy in the here and now. The happier you feel, the stronger you'll start to feel, and then maybe overcoming each new challenge won't seem so hard. At least that's the way I'm approaching it.
Finally, one of the books I read talked about the importance of "small wins." Set small challenges for yourself on a regular basis, and every time you successfully deal with one of those challenges it creates a "small win" and helps build your confidence.
Just a few ideas. Good luck.