This was what it was like the first few months at McKinsey (in 2003 when I joined the NY Office).
When I was a first-year analyst I didn’t know where the bathroom was, or how to tie my shoelaces. I was taught to be concerned with learning the ropes, finding out what a derivative was, understanding finance, getting to know our clients and what motivated them, learning how they defined success and what we could do to help them get there.
Though, most people who left McKinsey in that era left to “have more impact in their work” (i.e., be directly in charge of something rather than a consultant), many did leave to make more money. McKinsey doesn’t make the most money (c.f. Rajat Gupta –> you won’t see Lloyd Blankfein starting a second career post Goldman).