Consider this. If you did live back then, if you managed to survive childhood and weren't a member of a demographic that faced substantial discrimination by the society of the time, there are still substantial and significant limitations to what you can actually do and where you can go.

Travel could be deadly, especially travel over any substantial distance. If your horse is injured or dies in the wrong place or is stolen, you could end up stranded far from civilization with no way of returning. There's no making a phone call or radioing for help. What you brought and who you traveled with are all you have. Communication outside of those who you interact with face to face or manage to get a letter to is non-existent. Unless you leave a forwarding address in a settlement with mail or even a telegraph service, there's no way for anyone you actually told you were leaving to have any idea where you went. Given how long the mail can take and the very real possibility of mail simply being lost, there's no real way for anyone to know you're missing on a timeline where they might be able to help. It might take years for anyone to even realize you're missing. If you manage to put up a smoke signal or something and someone actually sees it, you'd be left to hope it's the right person, who will find you and help rather than stealing whatever you have left or simply ignoring you for their own safety.

Considering how much emotion and thought you've invested in RDR, I'm going to take a wild guess and assume that you're probably a fan of fictional entertainment in general and interactive stories specifically. It should go without saying that your access to these things would not be remotely what they are now. You would be lucky to be literate and to have access to fiction at all, let alone a constant stream of new reading material. You certainly wouldn't have access to anything like a video game.

Meanwhile, you currently are able to experience an idealized and risk-free version of that era in exactly the game this post is about. You can even join roleplay servers and interact directly with other people who want to immerse themselves in that world. If you're really into it, there are all sorts of groups for people who are interested in recreating societies from this era. You could go find a week-long event where you can bring period-appropriate gear and dress and pretend to be in the 1800s with a bunch of other people in the woods. If it's the city that's bothering you, you can literally move to a town, right now, that's in the middle of the woods and just live there all the time.

Both going to an anachronistic real world roleplay event and moving into the woods are trivially easy in comparison to the time period you're talking about. You don't even have to lose contact with the people you know to do so, and if you decide it isn't working you can literally just move back.

Everything you talk about wanting here is attainable with less effort and less risk in the modern era. If you think you're hesitant to leave what you've already established behind now, you almost certainly would have been even more hesitant to do so in a time where there was no safety net and potentially no way back. At least today your can talk to others who've done the same, and you can even dip your toes in a bit before you dive in.

Period games and period movies feel romantic because you don't see the whole thing. You don't die of an infection playing a video game. You don't have to feel the exhaustion of being malnourished and trudging miles through the snow while your toes literally freeze off.

I would urge you to take a long hike. Walk a few miles through the wilderness and see how it feels. Go camping for a few days. Find a wilderness rendezvous or go to a Rainbow gathering and bring a canvas tent. If it scratches the itch, maybe push it a bit. Go further, bring less modern technology. Keep an emergency radio in the bottom of your backpack and forget about it until you need it. There's nothing stopping you from getting a taste of what you want right now, and the barriers to doing so are infinitely smaller than if you lived in the same place 100 some odd years ago.