As a business and personal development coach, I frequently come across this dilemma and trust me, it can be overcome once you simplify things.
I recommend entrepreneurship over a job any day, but it is all about personal preference. It sounds like you have a lot of passion around creating your own path in the world and I highly suggest that you go this route but here is my recommendation:
1. Find a job related to one of the fields you mentioned starting a business in.
2. Gain industry experience while also bringing in an INCOME from that job.
3. Use your income and experience to start your own part-time business on the side.
You don't have to go all-in when starting a business. Start small, and as you grow you can think about leaving your job and focusing solely on your business.
The social anxiety is a very common problem and can be overcome over time as you gain confidence in yourself and focus on personal development.
I can certainly assist you with both if you would like to set up a call sometime. Best of luck!