I am a non-european who started a PhD with a Marie Curie fellowship program, however, I have had problems with my supervisor and I was not able to find another supervisor during my first semester, so I am considering terminating my contract. My question is if I will have some problem or issue by trying to initiate another contract under support of Marie Curie fellowship in other university or how this situation will affect me?
The MSCA project you proposed was designed to work with your current supervisor, so terminating your contract will end your MSCA fellowship (and your financial support).
If I remember correctly, even a large part of the MSCA proposal consists of describing why your supervisor and you are a good match and how the two-way-transfer of knowledge will benefit the two of you. So you cannot simply quit and find another one.
Nevertheless, having won an MSCA fellowship will greatly benefit your CV.