I moved out when I was 20. I packed all my stuff in a U-Haul van, and had a map, and off I went. But I moved to a city that I had already lived in beforehand, just this time I was alone. And I knew no one in the city I moved back to because I'd lost contact with all my childhood friends.
The experience...was definitely difficult and disturbing. I got into fights, I lived in sketchy areas, I was very much alone. I was drinking a lot to cope. But it was also exhilarating and I was so artistically productive, and learned a lot about myself.
I understand the frustration with living in a smaller town or city where you feel like you know everyone and everyone knows you, and you want to habituate new places with new people and new experiences. That's natural, and one of the reasons why I moved out.
But in retrospect, I don't think it was the smartest move financially. And eventually finances will bite you in the ass if you're not prepared. I highly recommend maintaining and building your savings, investing your money in assets, review the job opportunities in where you're moving to, and just make sure that you're not going to be struggling. Your mental health will quickly decline if you struggle. Don't let your twenties be a period of financial stagnation like so many other people.
Also, the stigma of living with your parents when you're past a certain age should be abolished. Of course you want to be independent, it's natural. In hindsight I should've moved out for a few months instead of years, came back, moved out to a different place for a few months, and repeated it like that until I figured out which university I wanted to attend.