I remember the first time I went to the movie theatre by myself. It was definitely an unfamiliar experience, but in the end I did rather enjoy it. Later in life I found myself travelling for work so you get in the habit of, and really appreciate doing things on your own.

Maybe a way to approach it is to decide that you are going to an event by yourself. Invite some friends. If they say they'll come, great. If they cancel, back to the original plan.