Make sure to research expected pay in your desired target countries. I was shocked when I saw the difference between compsci job salaries in the US and Italy. Can adjust for cost of living differences but it was still a significant decrease. Would be good to be aware ahead of time and not surprised if you're not happy with the salaries presented.
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What's the healthcare cost difference? Student loans?
University fees for foreign students can be very high. For example, I think the fees at Edinburgh university for a foreign student are 3 times the cost for English students, and almost 9 times compared to Scottish students. I’m going from memory here so I could be off a bit.
Many countries in Europe have straight up free universities for everyone, but yeah that's something to keep in mind.
People focus on citizenship but you could just relocate in a EU country, stay as much as you can, then switch country: Portugal, Spain, France, Italy are more than ok, Croatia is growing.
The most important thing to focus on, to me, is what kind of work you can do
Do you have ANY Italian ancestry? Even fairly distant like 100+ years ago? Irish grandparents?
Other than that it's gonna be tough bud.
Not EU but there's ways to do remote work in other countries... Look into some "digital nomad" communities although they often come across as gross privileged fucks who just want to exploit lower costs of living and not try to fit in at all.
My maternal grandfather was born in Italy and moved to the States as a child. Does that open any doors for me?
It likely depends on if your great-grandparents naturalized as US citizens before your grandfather was an adult.
https://www.italiandualcitizenship.net/italian-citizenship-by-descent/
if you go to estonia you don't learn Russian
Illegally cross the border into Canada or Mexico and try to get citizenship before they deport you back.
As everyone else said, the most viable paths into a developed country are work and studying, so you'll need to find one of those. You'll later need to go through (as I have heard) grueling visa procedures, but before any of that you have to get a job or get into university in the country you wanna go to.
By the way this is complete conjecture on my side and I'm only putting it out there so someone who knows more about these things can confirm or deny it, but maybe it'd help if you knew the language of the country you're trying to get into?
Go as a student and find a spouse while you're there for the easiest way to stay after you're done with school.