Figure out something you can do while still working your current job. You can use your paycheck to buy they things you need to do that business.
Figure out something you do well that someone is willing to pay you to do. If it is mowing grass, you will need a good mower and weed eater, trailer etc. Something on the internet...need a good computer, etc. It takes a long time before a business actually makes money.
Do you have an idea for what you want your business to be? If you do have an idea, do you know how to start it? I think that's the problem for most people.
I also think it would be hard to quit a job to start my own business. My job gave me a guaranteed paycheck before COVID-19. I know how to do my job. I'm comfortable with it. I don't have an idea of how to do anything else. I still have my job, but I can't go back to work until the middle of August. Now my paycheck comes from stimulus. It doesn't pay as much. I hate this very much. Some of my cousins in the USA said their country's stimulus paid them more than their jobs paid them. They're lucky. Mine pays much less.
When I was home during lockdown, I had an idea to write a children's book. I look for a publisher now. My neighbours have small kids, so I read it to them. They loved it very much. Maybe I can be an author. It's an idea. If you enjoy writing, maybe you can try it.
To which country do you want to move? What do you think is better there than in your own country?