It's very easy to get overwhelmed with the entirety of any process if we look only at the big picture all the time. Often we also feel trapped once we make a decision, feeling that if we don't like our choice(s) we must follow through anyway. One way to avoid this is to set small goals. Give yourself permission to try something for the length of a college course - usually 17 weeks. Many online courses are even shorter. Berkleemusic.com has 12 week courses, and Gotham Writer's Workshop/Courses are only 10 weeks.
Stop being so hard on yourself for not finishing projects. If you give yourself something small enough to finish in a reasonable time, before you know it, you'll have one small thing accomplished. It's much better than agonizing over one huge all consuming project that scares you to death.
Today think about one thing you could try and give yourself a time limit to complete it in. Knowing you are only trying it gives you the full option to drop it completely once you finish fully trying it.
You may be thinking what if I never find something I like long enough to make a career out of it? Or what if I never finish that book, or art project, or? One, you will only know if you try. And two, would you rather do one thing for the rest of your life, or have tried dozens and dozens of things? Set a small goal to try one thing and do it. You'll feel better afterward I promise!