I want to quit PhD after 4 months. Should I?
It's impossible to advise you what to do. But I would consider to give it more time, e.g., a year, before quitting. You may still be effected psychologically by the change of place, weather, geography and location; you are still not adjusted to the new place. So you feel anxious and perhaps panic. But it may not be a good strategy to haphazardly decide on quitting the PhD while in this position. So I would advise you to wait more time and see if you adjust to your place and perhaps start enjoying your project. 

(Also, PhD is never easy, and so mild depression while completing a phd is quite common.)