First of all read "Man's Guide to Psychology". It is a book written by a psychologist who also knows about game. It touches lots of topics about fear, anxiety, subconscious day to day decisions and how to improve them.
Before you read rest of this post pay close attention to what I said in next paragraph
"Man's Guide to Psychology" is a very good book that explains where your fears come from. It also does a good job of giving few ideas that show how to start making changes that would last a life time. After you read "Man's Guide to Psychology", you should start taking action. If you read it and you still don't take actions, then you might want to start seeing a therapist. There is no shame in this as I and many other PUAs that I know did it in the past. We all benefited from it.
After that, read the book called "Six pillars of self esteem". This book will help you understand where does confidence come from and how to keep/improve yours.
After that, read the book called "Extreme ownership". This book is not about anxiety or self esteem. But, it very strongly agrees with the fact that things like discipline, taking action, planning, etc are a lot more important than motivation/state/etc. This book thought me that showing up and doing it no matter what is the best thing I can do to improve my self. Sometimes, it feels like shit to be out there... But, you gotta do what you gotta do!!!
If you want to understand more about the source of your fears then read some books about evolutionary psychology. I can't recommend a single book but getting information about evolutionary psychology was an eye opener for me. For example, it is believed that "approach anxiety" is a remnant from times when humans lived in tribes. Back then, if you openly flirted with chief's daughter or the hottest girl in the tribe, then you might end up getting cast out of the tribe. This would mean that you would die without passing your genes to next generation. So most guys who seeked approval of their tribe before they started flirting with a girl survived more often. So they passed their genes to next generation most often. Approach anxiety was a good survival strategy back then. But, these days we live in cities with millions of people and noone would kick us out of the tribe if we flirted with a girl. So, AA has no use in our lives these days. It is the same thing as storing fat. Back in the day, it was for survival. These days obesity kills more people than most other reasons.