I feel like I would have a better chance of improving my life if I move somewhere else. I'm afraid, however, because I wouldn't have any money or a job.
Well, it depends, why is your life shitty, what happened to your friends, etc.. what is your situation at home..
Lots of people move on a regular basis without having a lot to their name. If you're able, I'd recommend saving up for a while. Do you have a job now? If your job is with a national chain or a big company, look into asking about transferring down the line. Figure out where you want to move to and do your research. Apartments.com and similar sites will give you an idea about the cost of living. How much do you need to live per month? Factor in the average cost of living for the kinds of accommodations you're looking into in your new area. When you have an idea of what to expect (and always assume your cost of living is higher than it really is), do what you can to build up an emergency fund. Ideally, an emergency fund is going to be about what you can live on for three months. If saving up isn't a possibility, look into resources in the place you want to move in. You may be able to apply for cash assistance, affordable housing, etc.
I'd certainly research the possibility, and if you find a place you like and think you might be happier, go for it. What sorts of things are you looking for, in a move? A place to meet friends, or possibly a partner? A lively night-life? A bustling city or someplace more quiet? My mate and I moved to Baltimore after saving up a bit of $ with no jobs, but just the desire to explore new places, and have had lots of amazing times here...though it;'s odd, now we want to move back to where I grew up, which is pretty much the wilderness. But we managed to find jobs and survive in what even be considered a tough town on the east coast; if you're young, I say look into a bit, and do it. See the world; you don't like one place, it's always possible to move to another. It also causes you to see things from other perspectives, and is a great opportunity for self-examination and growth. I had a friend just move out of New Mexico; he said the economy there is pretty flat, lots of poverty, and not a lot of places to meet people; felt lonely, he did. I suggest exploring places you might wanna live, how much they cost, possible jobs, and start saving, maybe sell things off, and then go...we only have one life, and all in all, it's pretty short in the great span of time.