Same, I was studying theoretical physics in switzerland, and getting paid in gold compared to comparable programs around the world. Within 3 months of starting, I couldnt make myself wake up in the morning, and fell into depression. Leaving the phd, was the hardest decision of my life and give up the wide eyed impressed reactions to the question 'what do you do'. But now (few months later), working in Paris with days filled with novel experiences, makes me glad I didnt hang on and regret it the rest of my life.