It depends whether it's the work or the work place culture you're having issues with.
If you took on challenging work and are having difficulties coping, it may only be teething problems that you will deal with over time. I think a month would be too short a period to allow - six months would be more reasonable IMHO. If you've set some ambitious targets for yourself, give yourself a reasonable period to achieve them before you consider quitting.
If it's the people and/or culture of an organisation, aske yourself whether your problem is the new culture you have to deal with or just that you miss the comfort of your old one. If it's the latter, then tough it out. It takes time to develop the relationships you may have taken for granted in your old job.
On the other hand, if the new workplace has characteristics that you simply find fundamentaly unacceptable, then it would probably be advisable to leave sooner rather than later.