How do I build credit if I cant get a credit card?

I just turned 18 and my parents advised me to get a credit card to build my credit. I've applied for 3 different credit cards and they all deny me due to insufficient credit. What can I do? I know secure credit cards are an option, but I'd prefer not to lose 300 dollars on a credit card.

EDIT: Thank you guys for the advice! The guy at my bank made it sound like I never got that deposit back. I applied for PayPal Credit, The PNC Visa, and the Walmart Credit Card (I only did it cause I work there and can make payments at work.)