Many people feel like this. I know i definitely felt like this in my first year, even now (5 years later) i occasionally think "Have i made *enough* friends out of this?".
I felt like this in my first year too. A lot of it comes from false expectations. You have all these ideas in your head of what university *should* be like for you. The experience doesn't live up to what was in your head and then you don't feel so good. I know its hard but try come to it with no expectations (but still trying) and you'll have a much better time.
Talk about anything. See if you like anything in common, ask if they like X or Y, then talk about X or Y. If it fails just move on. There is an insane amount of people out there, it wont work with everyone and it wont click with everyone. There are some people i just cant click with (but they click fine with others) and vice versa. There's nothing wrong here, it's just how human social dynamics work.
I think you're struggling for a lack of something to talk about. I strongly feel joining a club will help you with this. If you are in the club with people, you have at least 1 thing in common to safely talk about.
Social anxiety doesn't need to be a disease or a disorder (although it can be). We all feel a normal amount of it from time to time. You can talk to your counselling service and they might give you some tips to deal with anxiety. There doesn't need to be necessarily anything wrong with you, just think of it as a performance enhancing thing like working out. If you do think there is a problem, they will help you out.