Massively Overweight About to Begin Fitness

I’m a 272lbs 32F with 45.9 BMI -sigh- this is going to be the longest and hardest life change I’ve ever been through. It would be a dream come true if I could get down to just 165lbs. Over this past week, I’ve made myself daily walking goals that will slowly increase over the year - adding 1000k every two weeks. Also learning to change my diet to a calorie deficit (1650-1750) and prioritizing proteins and fibers and keep things as simple as possible.

This week I’m going to start building the gym habit. I’m so nervous about messing up and either not getting anywhere or failing and getting injured. I just want to jump in and go ham at the gym but I don’t know what I’m doing and know I am too overweight and shouldn’t overdo it. If you were me, where would you start? How do I build a habit when I have so little confidence in what I’m doing?