Life is challenging, and trust me it's equally challenging for everyone. It's just that the intensity and time vary based on individuals' capacity for tolerance.
The grass looks greener on the other side because the distance, angle, and perspectives from where we look at it are framed to portray its best. The closer we go and critically we see we start to notice the flaws and problems.
If you see all these statues, they are not just the monuments of the city contributing to the skylines. The efforts and thoughts these personalities and names have put in to build their name and following in society and the country made them stand that tall and even alone.
The wiser you become, the more you go to the top, the more you progress, and the more you will start finding yourself lonelier. That's the reality of life. So don't be afraid of loneliness, if you are alone then it means you are progressing and contributing to the growth.