I grew up there, but spent a long time in Colorado and have a place in northern NM. The snow, cold, all fine all doable, but it’s the dark overcast that gets you.
Depending on the region it’s a lot more interesting economically- lots of small businesses, plenty of summer activities. It’s getting expensive though, for what it offers. I think few people move to New England from outside new England though (except for the important cities). You will certainly get some funny looks when you tell people you moved from Arizona.
I would personally move to a town with a lively population but not a big city. Think Burlington Vermont or Binghamton NY or great Barrington Mass. Definitely different and if you can settle in there probably a better life!
Oh for sure Europe is maybe worse in this regard. I’m in the south of Europe now but have relatives in Paris and the cold gloom is not something I would like to live with every day. At least along the Mediterranean it’s mostly sunny for the short, cold days of winter!