I was working for 3 years in strategy consulting, when I realized I wanted to change careers. The good news for you is: any experience you have both in school and at work, will help you with your next steps.
In my case, I tried thinking of all the things that I had done to see where I found the most joy and where I could make the most impact given my abilities. Additionally, I had a vague idea that I might like some other areas I had no experience at. I still wanted to make a move that I knew it was going to be the best for me. I read the book "Designing your life" from Stanford professors and it basically guided me throughout this journey of testing different paths and possibilities. I would highly recommend that you do something similar to that. The link for more information about the book is: https://designingyour.life/the-book/.
Another great news for you is: as a grad student, you have developed solid problem solving skills throughout your thesis and you can for sure leverage that in your next steps - this is a highly desired skill in the jobs market. Use this and anything else you have learned in your career as an advantage when searching for your dream job.
Hope this is helpful. Please let me know if you have any questions or if I could help any further.