Assess the situation
Your new job may not be an ideal one for many reasons. Your boss may be a micromanager. Your duties may not be what you thought to be. Your client may have left you in the lurch. Before taking any decision, find out why your job is so distressing.
May be you are responsible in a way. Think of a way to get out of this misery. Perhaps you might not have ever worked with a manager of this particular personality type. Can't you deal with the situation and learn a lesson from this experience?
Have a dialogue
When your manager is happy with your work while you dislike the position, then there is a scope for a heart-to-heart talk about the reasons for your nightmarish experience. Your manger may shift you from the position or give you an additional support.
The situation may be difficult if your boss is not satisfied with your work. Even then you have to talk it out.
Or you approach the management to know what they expect from you and you from them.
If you don't have proper tools and support to do your job, place the facts before your manager and he may help you. It is good for you if you let people know what you want.
In case your boss is the root cause of your misery, ask your coworkers whether they also feel the same way. See how they are able to handle this person. If you come to know that everyone who had held this position and could not stand for more than three months that could be revealing.
Experts say that it takes three to six months to settle down in a new job and enjoy working. If you have not taken up a new job for a long time, it is likely you may have a sort of painful experience. They say new job starters should be prepared for a bit of anxiety in the beginning. But soon they adjust themselves.
When you are catching up with the work, observe as much as you can and besides learning the job, gather information about the company and its work style. This may help you feel more comfortable.
Final decision
If you still want to quit, ask yourself if this is a real nightmare. If you are suffering verbal or physical abuse at work, you need not have to suffer that way. Even if you have not subjected to these horrors and still feel as if you are in a nightmarish situation, options are few. After giving it time and best efforts, and still feel bad, you need not suffer any longer.
When you are being interviewed for a job, you tell them that you have realized early that the past job is not right for you. Don't make a mistake again. Get all doubts cleared, go to the company a few times and speak with employees there to get an idea of the position and environs there.
Don't have the guilt feeling of walking away from an opportunity too quickly. What really counts is whether you have given it your best shot and tried.