The most important change one needs to do comes from inside: it is crucial to understand the logic of the business world, which is rather simple: everything needs to increase revenue or reduce costs.
Unlike academia, where one is free of cherry-picking problems, in the private sector we often find ourselves doing “menial” work for which we feel overqualified. The truth is that one needs to learn by doing, and if you haven’t done your fair amount of, say, SQL queries, you would not appreciate the job necessary, nor would be able to troubleshoot your algorithms yourself.
In my first job as a data scientist, I was super disappointed because I needed to write long queries and I was expecting to just build some beautiful models on top of the cleansed and sanitized data. I clearly had the wrong attitude, but it took me some time to realize.
Later while interviewing candidates for our team, I met a few PhDs that wanted to climb into manager immediately (or so their salary requirements suggested) on the sole merit that they, well, had a PhD. This sense of detachment of reality is what needs to get off from you first.
Another source of problems is the relationship with your advisor and close professors. This is a nasty one, and a very case-by-case topic. I had to disclose my leaving from academia at the time I was finishing the thesis, and tradition dictated that it was time for me to find a postdoc. In my case, my advisor was not against my moving out of academia, and he somewhat encouraged it by introducing me to other mathematicians working on close fields who have gone to the private sector. Unfortunately, another professor took it very differently. She was extremely upset about me leaving academia, and she thought I was a traitor and a mercenary that seeked nothing but profit out of life. Interestingly, she often spent lots of grant’s money on taxis with no reason (public transport in Europe is generally fine), but well. This kind of speech affects you personally: you had grown up to become a researcher, and probably it was a long cherished dream to be a professor. But circumstances change, and you can not let yourself be held by your 15-year-old self. Move on.