Sounds like having a type of social phobia, where you might be afraid to look foolish. The simplest answer is power through it. Easier said than done, right?
What you want to do is start slow and build it up. Try making a list of all the things you would like to do but are scared of doing. After that, list all the things by the level of self confidence with them. So the ones that scare you the least put them at the top and going to the bottom will be the ones you feel most uncomfortable with.
Now take the thing at the top and break it down to levels:
So if dancing you might have a list like:
Dancing alone.
Dancing with a girl.
Taking a class.
Dancing in the club.
Next list these by level of scariness. Least scary one at the top again.
The easy part is done, the hard and most rewarding part is now. You will take the things from the top of the top of the list(least scary ones) and make it your goal to go through the list one by one every day for a month. By the time you've done 1 or 2 of them you will get hooked on the feeling of achievement.
Check out a post on this forum for inspiration:
do-one-thing-a-day-that-scares-you-regu ... 62778.html
The thing is there is no easy answer to getting relaxed. You need to power through your fears and accept being comfortable with whom you are. Then and only then will you actually be relaxed and confident doing these things.