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JustChill You'll only believe it if you apply it. The thoughts I had to cope with anxiety at a course was "I can leave whenever I want" "I don't care about getting on with the people here" on the first day I stood in dog shit and walked it through the building before I and everybody else noticed.
I got on with most people on the course well, I didn't talk about the issues I was facing until further through. I came in and they thought I was a badass they thought I was rock n roll because I controlled my thoughts, I dismissed and corrected all the insecurities.
It can be difficult but team exercise courses are a very small manageable step, worst case scenario you stop going.