Just thinking: what would be even more gradual approach? I know a guy who is already scared by the idea of dancing.

I was scared of dancing before I started Salsa dancing. It wasn't easy at the beginning as someone who didn't do any sport beforehand but I managed with time.

As far as non-dancing physical activity goes there martial arts which is scary for other reasons.

I would recommend Western body work systems like Feldenkrais and Alexanders Method over Yoga. Yoga isn't bad as such as such, but there a lot of unquestioned dogma involved. Things are done in a certain way because they are thought to have been done that way 1000 years ago in India.