How do I build credit?

I am 22 years old. I have my cellphone and car insurance in my name for over 2 years. I am also on an apartment lease with my roommate. I do not own a credit card. I have applied for two credit cards about 6 months ago and was denied for insufficient credit. One was at the store I work for and the other was Care credit. How do I build credit if I don't have sufficient credit to get a credit card?