Howdy. I totally feel you. I'm on a UK PhD at the moment, after dreaming of and failing to make the jump abroad. I'm not originally British and really wanted to get out.
First, I found it very difficult even to search for PhDs. Very few projects were publicly advertised. Often I would see on a group page "vacancy for a PhD student in XYZ" only to get in response "sorry the webpage is out of date". Generally, lots of out of date information.
Then, every university and country has a different applications approach... sometimes you apply to the university's doctoral school, sometimes you apply directly to professor, sometimes it's a study programme, sometimes it's almost like a research job, sometimes there are deadlines to worry about, sometimes time is irrelevant. The lack of structured application processes made it very difficult for me to plan my applications during a busy final year. Funding sources were similarly confusing.
I found it very frustrating altogether. I was even accepted by the doctoral school of an amazing European uni but I couldn't find a project and things just weren't falling into place. In the meantime, I had a a prestigious, funded UK PhD offer lined up which I had to accept or decline and in the end, I admitted defeat and accepted the offer. In hindsight, probably an OK decision. I hate it here but the project is good.
Out of interest, do you have a full masters and a separate bachelors, or do you have a single integrated masters degree? I have the latter and I think it disadvantaged me quite a bit in Europe. I must admit myself, it's nowhere near as rigorous as some European bachelor + masters routes, especially in terms of research experience. Also, I would have been quite a bit younger than the average European applicant, which may not have helped.
Good luck. Don't give up yet!