I feel too shy to go to the gym alone?

Hi. I’ve been depressed and anxious for so long. I’ve read that exercising is a big help but I can’t do it at home so I want to visit the gym, but I feel too afraid to go alone because of the people. I don’t have any friends to go with, and my boyfriend lives far away… it’s all me. I’m so scared of what they will think of me because I’m still a beginner. I want to help myself but I don’t know what to do right now because I’m alone. Can you give me some tips as an anxious beginner? I’ve never been to the gym before. Thank you very much.