I caution against changing countries to fix your unhappiness with life in general (unless you really are from a disaster area). If your general approach to life leads to grief, you will just be taking it with you to a new location. I've seen it often enough.
Some of the angriest expats I knew in Japan were Japanese Americans. They had felt rejected by American society, so went to the "old country" in search of belonging. The native Japanese just regarded them as Americans, so they ended up feeling doubly rejected.
In this case I recommend moving cities within your own culture rather than switching to a new one.
Having said this it helps you in terms of personal growth to immerse in another country, culture and language as much as you can. (If you view it as a challenge that you enjoy taking on, and you enjoy the target culture.)
One observation is that cultural distance is not always proportional to geographic distance: for instance, there are things that German and Japanese culture treat identically that British culture treats very differently.
Being an expat may be hard, but being an ex-expat is easily as hard or harder: returning after extended absence, and expecting things to be the same, you will find out that people have moved on, and that the good things that you were missing (perhaps over-idealized) may no longer be good, or may never have been so great in the first place.
"You can never come home again."
-- Bill Brysonmy .02, I had a great 3 year expat experience. I think the difference was I was young and in a large city. While I certainly connected with many locals, other expats from many different countries formed my core friend group and I was often inviting local colleagues out with us.
A guide book I read before a six month residency there said sometimes locals need to be themselves and not deal with you as an incomer.
I think also some countries are different from other in acceptance of foreigners. In Japan you will simply never be “one of them” while in some other countries you may have a better experience assimilating. I think the core issue here is that United States is just about the most unique place on Earth - everyone here is an immigrant. In my 35 years of living here there isn’t a single accent I have not heard yet. I know how people from India speak English, I know how people from Nigeria speak English, I know how people from El Salvador speak English… A French person is unlikely to know this and them hearing someone from El Salvador will sound strange - a true stranger. Most people in France are French, most people in Germany are Germans… (even with higher immigration from Africa and the Middle East…) whereas USA is like “what is an American?” To add to this:
America and Canada are much more accepting of immigrants than most other countries.
While this may be true for urban areas of the United States I believe this same post would be written by non-American coming to America and getting situated in some small rural town like Elmo, Kansas…