Not really.
You change languages, currency, you need new bank accounts, new health insurance, completely different educational system. All administrations are different. The culture is also a shock. You will never find any of the grocery or shop you used to buy.
A French going to the UK is not much different than a Mexican going to the USA.
The only advantage is that you don't risk being deported by the police if they don't like you papers. You are effectively allowed to be there by the virtue of being European.