I've never been a fan of gyms myself and the number one and two things that scared me most when. I was started was me not knowing what I was doing, and the stares from guys because I'm the only woman in the weights section. After a while, you get in the mindset of not giving a flying F about anyone else because some of them really have no clue either.
That being said, I have not tried a women-only gym myself, but I have a friend who's in her 50s that goes regularly and enjoys it a lot. She did say that you have to book in early for classes or they fill up quickly. For me, it's been a cost thing. I don't really know why it costs more for women-only.
I think it is worth also to try different gyms (take advantage of free trials. Lots of big name gyms are franchises so you can do a free trial at each one). I've got a Snap Fitness membership and all of the Snap gyms I've been to have different clientele. FWIW, I've been to both regional and metro gyms during quiet and peak times, and it makes a difference. 2PM seems to have the male tradies in, whereas morning and lunch are more women. After 5PM is mixed bag.
Finding a trainer that suits you and understands your needs is really important. I think having one at all helps you build your confidence and teaches you right techniques. I think of them like a psychologist or GP: It might take a while to find the right one, but when you do, it'll be great. Definitely ask if they have free trials, too.
You could also considering getting some weights and doing some gym stuff at home?
Sorry for all the info, it might be more than what you're looking for, but when I started, I was so nervous, too. I wish I had someone to explain everything to me.