I'm European and in a very particular sector, so YMMV, but some thoughts:
I do a bunch of interviews, just finished one about an hour ago actually. If you've gotten as far as an interview, great stuff! Most CVs go right in the bin.
There'll be a few things on your application that caught the recruiters' eye. No-one wants to waste time interviewing people who they don't think can do the job, on paper at least. You're doing well.
When I'm interviewing, I have three broad questions in my head, in pretty much this order of importance.
a) What is this person going to be like to work with?
b) What can they do that we / the other candidates can't?
c) Was this person honest on their CV?
On a) People want to work with nice people. At least one of the interviewers will be spending a lot of time with you. It depends on the role and company, but particularly with less experienced candidates where the need for some learning is a given, I'd much rather have someone nice than a highly-skilled arsehole.
You want to be relaxed and confident. Tough without experience, but don't sweat it, I have a practical suggestion below. Also smile and make some eye contact, and you're allowed to have a light bit of humour about you. You can use that bit before things get rolling properly for a _very_ light bit of banter. Get things off to a good start.
In terms of getting that confidence? Have you got experienced, professional older friends, relatives? In the sector is best, but not essential. You can ask them to help you out with a mock interview. I've done a bunch for friends and family over the years, it seems to help folks get over your exact concern. Bit of roleplay, they'll need to do a bit of research themselves (e.g, on technical questions) so it'll need to be someone who's will to go out their way for you.
On b) side-projects are good here as you suggest, particularly when you're young. You always want to be able to give examples of things you've done (check out the STAR method), and more projects means more to talk about and more chance you're bringing that X factor to the table.
Right now if you're into ML, others in the thread may disagree, but maybe give an LLM project a go? I'm recruiting for an ML-adjacent role (vis/analyst) right now, we're having ML practitioners apply, and only one or two candidates have any experience with LLMs. Total differentiator. We're too busy to learn stuff, would much rather get someone in whose time isn't yet eaten up to check it out. Have a head start.
c) Actually pretty rare and pretty easy to spot most of the time. I hope that's not you, I spent a while on this ;-)
Good luck!