Changing colleges for international graduate student
Yes, it is possible to transfer to another graduate program but often not very easy.  It's typical for graduate programs to limit the number of credits that they'll transfer (no more than 12 at my institution), and you may end up having to retake courses that you've already taken.  

A much bigger issue can be getting admitted to another program.  If you have not done well in your courses (say a GPA of at least 3.5 or so), then you could find it very hard to be admitted to another graduate program.    It is also very important to have at least one positive letter of recommendation from a faculty member at the institution you're currently attending.