Know of several people in this situation, even people making 70k+ out of college and paying taxes still need to leave.
Australia is not too immigrant friendly lately, but New Zealand will most likely give you a permanent residence if you have a well paying job, and you don't have a criminal record.
Fwiw, my own experience is that the US is screwed up to the point where EU entrepreneurs are about as welcome as Mexican goat-herders.
Which seems kind of self-defeating if the goal is to give jobs to US citizens. But what do I know...