How do you deal with aftermath of awkward social situation?

I've been directed here to this site to help with what is a really small ridiculous thing to be anxious about, but I'm anxious and worried it's going to cause further problems.

I've recently joined a gym, I'm Autistic with social anxiety so this is a big deal for me, especially as I seem to be one of the weakest and more unfit there, also the staff seem to be picking up on how anxious I am. I'm coping well, but a couple of situations have thrown me a little and are making me feel anxious about going to the gym...

One situation was today when I went to a new class.

I was early but didn't see trainer so I thought I'd gotten my times mixed up, so I went to check, by the time I got back everyone had started class - it was only the warm up, although it's a short class at the same time it was only a few minutes into class. It was a different trainer to the one who was supposed to be there, thus why I'd not seen who I was looking for when I first walked in, and the trainer shouted to me to hurry and come in but as it was my first class I'd no idea what equipment I needed.

I stood there like an idiot for a few minutes watching, the trainer at no point tried to get me to join in, not even when he walked around the class. I didn't know what I was supposed to do, I felt so stupid. Maybe he could have just shouted to grab what I needed, or when he was walking around the class he could have quickly pointed me to what I needed or could have quietly suggested I tried the class another time instead.

I decided to leave the class - it was probably best to leave and try the class another time so not to disturb the others, but it would have been nice for the trainer to say one way or another rather than just leaving me standing there looking like an idiot.

As the gym was busy today so I went back home. I now feel really upset - anxious, embarrassed - I no longer self-harm, but the feeling todays class has left me with is similar to what would trigger me to self-harm. It's a little thing, but it's bruised what little confidence I've worked-up to go to the gym and I feel really horrible right now.