"I was terrified of losing friends, losing my job, just everything," the World Wrestling Entertainment star, 29, exclusively tells PEOPLE in the latest issue. "I had no idea what would happen if I came out."
But Young's fears were put to rest on Aug. 14 after he announced his sexual orientation – a revelation he had shared with close family and friends two years ago – to a reporter with a camera who approached him at Los Angeles International Airport.
"There came a point in my life where I just wasn't happy living a double life," Young says about revealing his secret to the world and becoming the first openly gay WWE star. "It was spur of the moment, and I said what I said and I was confident. But when I left, I said to myself, 'What the hell did I just do?' "
Despite his fears, Young – known outside the WWE world as Fred Douglas Rosser III – was greeted with open arms by not only the organization's management and fans, but also his colleagues in the ring.
"They all embraced me, and that was just shocking to me. I truly love them," says Young, who resides in Miami with his boyfriend of two years, Niccolo "Nick" Villa, 25. "It was such a relief. I'm not hiding anymore and I'm living the dream."
For more on Young, his life with Villa and the reaction from the WWE world, pick up this week's issue of PEOPLE, on newsstands Friday