Hi @BigM welcome to the forum. I suffered from severe social anxiety for most of my life,. It's still hard at time but it was really bad when I was younger. As @tacocatsuggested, meetups and groups in your area are a great way to start. It took me a while to work up to in-person stuff like that, so I started out by talking to people online. This gave me more confidence in a way that felt safer and more comfortable for me. As confidence grew and I got used to chatting and getting to know people better, I felt more able to do it with people face to face.
My anxiety is still there when I have to be around people I don't know very well, but it's far more manageable. Depending on how bad you anxiety is, it will take some time to feel more comfortable and be more at ease around people which makes it a lot easier to form friendships with them. I'm 53 now, so it took me a long long time, and like I said, I still struggle with it.
I'm not saying it will take you that long. The internet was only at it's very beginning back when I was your age and dialup was all we had. Yep, i'm that old! It may have even still been BBS's rather then the internet. And I certainly didn't try to improve my anxiety until much later so you're starting off way younger than I did. So well done, I remember when I first tried to work on my anxiety and it was extremely difficult starting out. So like anything I guess, practice when ever and where ever you can. Here is a great start. Have a look around for any groups that may interest you.... even online ones, and just try as many things as you can. But try to keep it to things that interest you, as you're far more likely to find people you have more shared interests with. I also tried volunteer work when I was younger as well. This was a great way to meet people and just have some social contact during the week, which helped a lot with the loneliness. If you work or study then this probably wont be an option.
Lastly, if you do know anyone, or meet anyone who you feel like there may be a bit of a connection there, don't be afraid to reach out and contact them. They may not have even been aware that you wanted to be their friend.
Don't be put off if you feel like it's not working, like I said it can take time. Not everyone you meet, will be your friend and that's the same for anyone. So just keep meeting people and you'll find people that you do 'click' with. I wish you the best of luck.