Work Experience > Masters. If you want to work in other countries, easiest way to get a work visa is through education.
It would be in your best interest to learn skills get a relevant job to figure out what you really like, data engineer or analyst or an AI engineer.
I think maybe for Canada you can apply for a PR and start working. Not sure about Europe or ANZ. Middle East has a lot of limited tech opportunities, they still offer more opportunities for other engineering disciplines.
Also I believe ML is quite more difficult than SDE unless Math, Stats or Probability come naturally to you.
A data engineer/analyst != ML.
US job market right now isn't really favouring fresh grads. The overall job market is bad, but relative to experienced folks, fresh grads have it worse