Be careful of advice involving putting yourself in stressful situations, eg public speaking classes, improv, talking to strangers, approaching women, etc.
Shyness is a generally a combination of the emotional (painful memories of embarrassing/humiliating situations) and the physiological (neurological stress & oversensitivity). These two aspects can influence each other, making the situation steadily worse as you pass through life, and can push you to breaking point if you can't work out how to escape the cycle.
If you have become hypersensitive to criticism or the feeling of embarrassment, that's a real physiological condition, and deliberately invoking this sensation through "fear conquering" exercises can make the situation worse - ie, add to the pile of painful memories and exert further physiological strain on your body.
There's a bunch of ways you can make your nervous system more robust, through nutrition (food+supplements), physical health & fitness, and crucially, "letting go" of painful memories (it seems wacky, but many people find "tapping" or EFT to be really effective).
Over time, this can enable you to be more relaxed and confident.
If you're going to do anything to challenge yourself, make sure you're taking small incremental steps. It's important to get yourself on a success trajectory, where each day or each week you're getting a little better than the last, and never suffering a major fall or setback. Minor setbacks are OK, as long as they're not too painful they'll become a way of figuring out when you're going right or wrong.
I'm aware some of this stuff may sound absurd, but it's based on my own experience, which includes learning that common "wisdom" about this stuff, including conventional advice from mental health "professionals", is ineffective at best and terribly damaging at worst.
The good news is you really can overcome the difficulty you find yourself in, and life can be far more enjoyable than you ever imagined possible.
If you want any more advice, email me: tom.howard/gmail.