Many people travel around the world, for different reasons, maybe because they're going to a vacation spot, or because they need to change countries because they are searching for a better life; but staying permanently in a different country is difficult because there are several problems you will need to face, and I'm going to explain which.
Before going into another country you will need travel documents since not having proper documents you might get denied from entering. For example, in Italy, having a "permesso di soggiorno" is mandatory to immigrants so they can stay there legally, it needs to be renewed to (every 4-5 years i think) so trying to have an Italian citizenship is really difficult for an immigrant since you need a fairly stable income, a job title and diploma.
Getting used to the life in the new country
Your life will be rough at first since you will need to adapt into living with different people with different habits, communicating with these people can be tricky too since you will need to learn the language first and learn that it's ok to make mistakes while talking using the non native language but the most difficult part is to accept the fact that you can't be perfectly fluent and flawless once you start studying the language, many people are scared to make mistakes while using a language that isn't their native one.