If you are thin, but out of shape, lifting will give you very fast results, in terms of shape (looks not fitness though of course it will help with fitness). Because when it's not obscured by fat, the muscle shows very quickly. But also you are probably judging yourself more harshly than others are.

And really - if you are thin, lift weights. I am kinda slender middle aged lady and even without the benefit of testosterone guys have, lifting weights quickly gives me shape through the arms and shoulders that really improves my look. I do it now more to keep my bone mass but it's certainly the quickest path to looking shapely.

I am not overweight

I didn't mean to imply you are overweight, sorry if it came across like that! It's more just that, besides general anxiety (which isn't specific to the gym), the main reasons someone might be "gym shy" are because they're overweight, unfit or unsure of how to use the equipment, so I wanted to touch on all of those things!

That said, I do seem to lack self-confidence.

I figured, seeing as you're anxious about the gym and how people there might judge you, ha! Building confidence can take a long time, and definitely isn't something that happens overnight. Obviously doing things you can be proud of - working towards a body you're happy with, work achievements, artistic achievements, etc - can help a lot with building up confidence, but the big thing is working to adjust your perspective of yourself. Try to look at yourself how you look at other people; if you saw someone unfit working out in the gym, would you care? Or would you just have whatever your initial thought is and then move on?

…except that this is not what happens in my country.

It can definitely be a little more difficult if it's ingrained into your culture for people to make a big deal out of things. Probably the best thing you can do - whether there are people around or not - is to listen to music/audiobooks/podcasts. It's good for exercising anyway because it gives your mind something to focus on while your body does mindless exercises, but it also just lets you shut out other people entirely so it doesn't matter whether they're gossiping about you, talking about last night's episode of whatever TV show, or something else.

Ultimately, though, trying to avoid basing your self-worth on other people's opinions is something you should probably try to work towards. Not just because negative opinions can obviously bring you down and harm your self-esteem, but also because if you only feel good when surrounded by people and receiving positive reinforcement from them then it indicates you're probably not happy with yourself

Anyway, sorry for ranting. I will try to do exercise at home and jog a bit!

That's okay, having a good rant is healthy every now and then! Good luck with the exercise, and try to stick with it, even if you only do a small amount every day!