Make mistakes enthusiastically!
This is the best advice that anyone has ever given me. Who knows whether you made the "right" decision or not. In 10 years, looking back, you might have some idea. But how would you even know.
Get out and meet some people. Make friends. This takes an effort, but you are young and Chicago is an interesting city. Chicago has public transportation, go out and do stuff.
And make sure you are putting effort into your school experience and the getting the most out of this.
The one clear mistake is to second guess yourself. There are lot's of people that learn, work and have fun in Chicago. You are there now, who cares if it was a mistake or not. Make it work for you and get as much as you can out of the experience.
Even if you end up back in Georgia... go back with some experiences, some new knowledge and some new friends.
You are there. Why not make it work for you?