ABSTRACT Background and Objectives This multimodal two-phase study investigated the impact of trait social anxiety on exploration, social attention, and autonomic responses in a naturalistic setting. We expected higher avoidance of potentially crowded spaces, reduced visual attention on other people, and heightened physiological arousal in social situations for participants with higher social anxiety levels. Design and Methods Eighty-seven participants, pre-screened for high variance in trait social anxiety, first completed a half-hour walk on a freely chosen route and subsequently had a staged social interaction with a confederate consisting of a non-interactive waiting phase and a short conversation. Results While social anxiety did not modulate the choice of route during the walk phase, socially anxious participants avoided gazing at other individuals in non-interactive situations, i.e., during the walk and the waiting phase. In contrast, during actual interaction, they showed increased visual attention towards the confederate’s face. Across all experimental phases, highly socially anxious individuals showed elevated heart rates, but this effect was independent of the social context. Conclusions This study showed that social anxiety affects social exploration behavior not in a way of general avoidance, but rather in nuanced adaptations depending on the concrete situation, likelihood of interaction and associated socio-evaluative threat.