Should I leave my job after a few weeks?

I just started a new job in Sweden (good pay, great colleagues, and company helped me relocate from Canada).

The thing is, I haven't found the job to be as inspiring/rewarding and feel that my manager lacks the experience to lead our team through technical projects successfully. I have also been extremely depressed having moved here by myself.

At the same time, an old manager who I respect reached out to me with a very exciting opportunity (great pay, small company culture) back home.

Should I consider leaving my current job? It's only been a few weeks and I was very excited to move to Europe, but I am just not sure if these feelings will pass or if I will be giving up a good opportunity.

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