A good question. Comfort zones can be different things to different people. It largely depends on what you've been used to, both physically and mentally, in the past. A student interviewing for their first job may be way more daunting than a hiker climbing Everest.
What I would suggest is to start with smaller goals which will over time develop into larger ones. Some great ideas have already been suggested in this thread, but here are some of mine (apologies if you are doing these):
- Run a half marathon
- Sign up for a public speaking class
- Engage in a volunteering activity
All require focus but are rewarding in so many ways. They will allow you to build a new perspective in life and a set of skills which will serve you so well in future.
Things are always scarier than they actually seem.
If in doubt, take that risk and see where you end up!
Maybe try learning something hard and complicated, like accounting, that you'll be proud of yourself for learning, and you can make a lot of money working in that field.
Its important to continuously seek new opportunities to broaden your horizons, either personally or professionally. It might be joining a seminar to learn more about a specific business function, or it could be joining a networking event to meet new people and learn about different industries/positions. It can also be something not even related to a career, like learning an instrument. Continuously challenging yourself and having discipline for your goals carries over into all aspects of your life and can help you excel in all facets.
Stepping out of your comfort zone in a big way or a small way is always progress nonetheless!