“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 shy around women, and say this to explain.

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

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when it comes to (something)

Saying "when it comes to ___" is a way to limit the topic of your sentence. For example:

James is a genius when it comes to computers.

This means that James is very smart, but specifically on the topic of computers. On other topics, James might be smart or maybe not.

"When it comes to ___" can go at the beginning of a sentence or at the end:

When it comes to eating, nobody beats Mako!

I'm pretty much worthless when it comes to computers.

kind of (adjective/adverb)

"Kind of" means "a little" or "somewhat". People often use it in spoken English:

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

It kind of took me by surprise.

You can use "kind of" before an adjective ("kind of shy") or before a verb ("kind of took me by surprise").

Another phrase with a similar meaning is "somewhat":

Most students find that university courses are somewhat more difficult than the classes that they took in high school.

"Somewhat" is more formal. Use "kind of" for most situations and "somewhat" when discussing academic topics or in writing.

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

(someone) is shy

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

Here's an example:

Gene has always been a little shy.

"Shy" is a very common word that you can use in both formal and casual situations.

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.