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I wish I had more faith in myself.
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Repeat after me - Market Adjustment

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Sorry to hear about your experiences in Aus.
In terms of exits, most consultants go into industry companies (e.g. Big 4 banks, Retail, Aviation etc.), tech (Amazon, DoorDash etc.) or even start ups.
You do get people move into more finance roles (IBs, PE funds etc.) I’m not across them that well.
I’ve been in Consulting for the last 7+ years in Aus and this is just what I’ve seen across peers. Hope that helps.
I echo C1. Industry exits are most common, with a few leaving for PE.
Without knowing which MBB you were with, and which you joined, could it be you don't gel with the new firm? Another option might be to try and rejoin your old firm? I wonder if it's an issue with the new firm, rather than an Aus consulting vs Europe consulting point.
Obviously I'm missing a lot of context here, but figured I'd throw it out there as an idea.