One more thing I'd suggest is to inspect your surroundings. Often, men with low self-esteem are in environments that rely on them staying that way - they might face criticism or be asked to tone down when they take bold steps.
If your surroundings are supportive, it's a completely different ballgame, especially if you have a few true friends with whom you can honestly talk when things aren't perfect.
So, definitely go out and do things, but if you're still struggling - for instance, feeling depressed because you don't have anyone to share your wins with - it might be time to upgrade your surroundings and build up a bit more support for yourself.