Is it too late to reject a signed FT offer?

I signed a FT offer after my summer in NYC but I just received a better one. Is it too late to inform my company that I won't be joining them in July? They already started the training for the SIE exam.
Also, how do you best approach this? (email, call, wording...)

 

Do what’s best for you, but also realize you’ll be burning a bridge.  Everyone burns one or two in their career, if you’re early on you’ll be fine.

We had a kid renege in his offer the day he was supposed to show up to training with everyone in NY.  Everyone thought it was bizarre at the time but I can guarantee no one cares two years later.

 
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