People often equate shy with introversion. Jung defined introversion as an “attitude-type characterised by orientation in life through subjective psychic contents” (focus on one’s inner psychic activity); and extraversion as “an attitude type characterised by concentration of interest on the external object”, (the outside world). Wikipedia distinguishes shyness from introversion: “professor of psychology Bernardo J. Carducci, introverts choose to avoid social situations because they derive no reward from them or may find surplus sensory input overwhelming, whereas shy people may fear such situations.” A more complete discussion can be found on Susan Cain’s Quiet Website: 

Shyness and introversion are not the same thing. Shyness is the fear of negative judgment, and introversion is a preference for quiet, minimally stimulating environments. Some psychologists map the two tendencies on vertical and horizontal axes, with the introvert-extrovert spectrum on the horizontal axis, and the anxious-stable spectrum on the vertical. With this model, you end up with four quadrants of personality types: calm extroverts, anxious (or impulsive) extroverts, calm introverts, and anxious introverts.

This chart below, from The Thought Catalogue, provides a handy cheat card not just between shyness and introversion, but also extroversion and obnoxiousness (Yes that is the word they use).