“I'm kind of shy when it comes to the opposite sex.”

You're a guy who doesn't have a girlfriend. You're talking to your friend who's quite popular with women. You are trying to explain your problem, which is that you are shy with women. But in other ways you're not that shy. You say:

I'm kind of shy when it comes to the opposite sex.

kind of (adjective)

"Kind of" means "a little" or "somewhat". It's often used in spoken English.

The pronunciation of "kind of" sounds like "kinda".

(be) shy

A person who "is shy" is afraid to talk to people that they don't already know well.

(adjective) when it comes to (something)

When you say that you're "shy when it comes to ___", it means that you're shy in that specific area, although you're not necessarily shy in other areas.

This phrase can be used for all kinds of different adjectives, not just "shy". For example:

He's really good when it comes to sports that require speed.

the opposite sex

If you're a woman, "the opposite sex" is men; if you're a man, "the opposite sex" is women. You usually use this phrase when you're talking about how men and women relate to each other.