If someone suffers from something like, let us say, shyness. Which is a better option: to try to change or to embrace yourself?

To give an example, I've tried to change and be more outgoing but to no avail so far, and this makes me stressed out and anxious, and if I talk to someone it ends disastrously, which makes me feel even worse.

On the other hand, when I embrace it and stay home convincing myself I better off the crazy world outside, and do whatever keeps me busy, I feel more relaxed and peaceful, but then suddenly when I remember I have no one in my life and no social life, while thinking that others are happier than me because they have friends and laugh together, the feeling of sadness and loneliness attack me, triggering a series of negative thoughts end up with tears and depression.

So, is it better to change yourself or to embrace yourself in this case?