College is a scary thought all on its own, but throw in not knowing what you want to major in and it will take your anxiety to a whole new level. Your first days of college, the most commonly asked question will be "what's your major?" and after a while, you get tired of the awkward conversations that follow when you say "I don't know, I'm undecided"
But being undecided doesn't have to be a bad thing. I went in undecided and it was hard to feel like you are falling behind all your friends. But being undecided gives you a chance to explore all your interests and find what you're good at. Many people change their majors halfway through, so starting out open gives you a chance to explore your options and find something that really fits.
Your first year consists mostly of general education classes anyway, so it's the perfect opportunity to take classes that just sound fun to you. You'll be surprised when you don't like classes you expected to love (like psychology) and are enjoying classes you thought you'd hate.
My best advice if you're open option is to not let it get to you. Don't just rush into a major because you feel like you're falling behind. You will find something you're great at and also enjoy, freshman year is a time to find yourself. Don't expect to come into it already knowing what you want to do for the rest of your life.