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Just thinking: what would be even more gradual approach? I know a guy who is already scared by the idea of dancing.
Probably something where you have to move your body, alone. Preferably not repeating the same simple two or three moves all the time, but something more varying, in the best case something where you could get skill and then you become proud of having that body skill. Yoga? Parkour? Volleyball? Anything like this is probably better than nothing.
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.