Changing colleges for international graduate student I joined a university in US for master's program two months ago as a GRA and it turns out my adviser had a lot of expectations from me, which are beyond my reach. He wants me out, though he hasn't explicitly made such a comment and I am also finding myself a liability for a program I don't deserve. I will run out of funding for next semester (or sooner) and it won't be possible for me to continue studies here because tuition fee are awfully high. I am planning to join another less competitive university without transferring credits from here? Do universities accept students who have already started in another university and want to change?
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.