I would say first, it depends if you're more of an introvert or an Extrovert. From what you wrote, I'm going to assume you're an introvert.
If you're an introvert, it is would probably be easier to start making friends online through forums/discord, sites of your interest, online gaming, and on Instant Messages. I personally prefer to make friends this way, as it has lesser pressure compared to having to dress up and go out. Typically, once I get to know my friends online for a good bit, then we decide to hang out face to face with them. But the down side to this is that, those online friends might not live anywhere close to me. But every now and then we're able to meet up at special events or during travel.
If you're more extrovert, or like you said, prefer to make friends In real life, then perhaps going to events in your town/city like different fairs, festivals, meet ups, conventions, etc. Just go out to things you enjoy and then from there you'll have to be a bit outgoing and walk up and start striking conversations with people who have similar likes with you and hopefully you guys click and can meet up again later or get their number, email, or IM handle so that you guys can continue to chat and figure out more about yourselves.
I would say with the event stuff it can still be hard meeting deeper connections cause you're only there for such a short amount of time. So the only other thing I can suggestion is going to things you know is more of a constant meetup, like maybe game night or sports night, etc at a certain place. I don't know what your interests are but for me (since I'm more of the nerd/artsy type) I would just find a place like a hobby store or videogame cafes, comic shop events/cardgames, etc and just go to meet ups there and try to become a regular there and over time its gives me a chance to mingle with people and most likely the regulars there.
