Please dont ever feel embarassed at the gym. If your gym has too much ego and only makes you feel worse, then it is time to find another gym.
First of all, you have a great mindset - you care for your body and your health, and you want to improve them. You have cleared hurdle #1. Now it's time to focus your thoughts to "I can do this, and I will do this, no matter what." Get rid if any negative thoughts. If you struggle with a certain exercise or workout in the gym, don't get frustrated. Step away for a bit, gather your thoughts, and go back ready to tackle it!
Remember, you start this journey for you. Celebrate every accomplishment, and enjoy your changes!