How do people move here and make friends?

I moved up here and it has been a serious struggle to find out how to get into a friend group and be social in this city as a guy who didn't go to a Big 10 school. My ex moved up here as well and has found it incredibly easy to get into multiple friend groups. She thinks that there's genuinely something that I must be the issue on this. She has used bumble BFF for all of her social connections and meeting new people. I know that works very well for girls, but I can tell you, it definitely is not the same for guys.
I'm a former college athlete, I work in finance, I love to do things that are active, but for some reason, genuinely have an extremely difficult time meeting new people to hang out with in this city.

For some context, born and raised in the south and went to a southern school. I moved up here for work and don't know a soul in Chicago. My office is fairly small and only one person near my age in it. And he doesn't go out or do things social in the city. I tend to be introverted, and while I love to be out and with friends, it makes me extremely uncomfortable to just go to a random bar and try to introduce myself into a group of others. (which seems like the only way to make new friends at the moment)

Has anyone else had to go through with this in their late 20s? I'd love some tips or things to do to help be more social.