Did the Buddha have advice about dealing with social anxiety?
Anxiety from loneliness is overcome with concentration; with developing calmness. 

Anxiety from worries about social conformity is overcome with clearly understanding of right &amp; wrong, i.e. morality. 

The Dhammapada says, for example:


  
  Those who are ashamed of what they should not be ashamed of, and are not ashamed of what they should be ashamed of — upholding false
  views, they go to states of woe.
  Those who see something to fear where there is nothing to fear, and see nothing to fear where there is something to fear — upholding
  false views, they go to states of woe.
  Those who imagine evil where there is none, and do not see evil where it is — upholding false views, they go to states of woe.
  Those who discern the wrong as wrong and the right as right — upholding right views, they go to realms of bliss.