Is it unethical to interview at a more prestigious program while currently enrolled in a PhD somewhere else? I applied at two different PhD positions at universities X &amp; Y a while back (both in EU, I prefer not to disclose identity for specific reasons, sorry). 

I got into X and have been here for about 2 months, and I heard from Y a few days ago inviting me to interview with them. Y is more prestigious, and also many of my friends are there. (Note: Both positions had different starting dates, X was more of a start-earliest program, Y is for 2015 admits)

Considering I am more interested in studying at University of Y, would it be unethical for me to take up the interview with Y, after I am here for 2 months? 
(I am at X as a RA presently)
No, there are no ethical issues. There is nothing unethical neither in keeping it confidential until you are officially admitted at University Y (and I think it's advisable).

The only not-so-good thing could be that if you built a relationship of trust with your current supervisor (but I suspect you haven't since it hasn't been long), this person might get disappointed to hear you leave. But generally, people understand the argument of higher reputation of the program.

Consider however, that University X might not reimburse the tuition you already paid and that you might encounter other administrative inconveniences.