Should I leave?

As the title states I'm highly considering leaving my job. It's not at all what I thought it would be and I'm extremely unhappy. The downfall is that I have nothing lined up and this is technically my first job in the industry (still in university). I know it will look bad on my resume but I can't take it anymore. I can work in another industry no issue while I apply for finance roles. Is this a huge mistake leaving?