The grass is always greener on the other side (of the fence).
Prov. People always think they would be happier in a different set of circumstances. (Usually implies that the other circumstances really are not any better.) Jill: My job is so tedious. I wish I had my own business, like Beatrice does. Jane: Beatrice probably wishes she had the security of her old job. The grass is always greener on the other side of the fence.