Transitioning from Consulting to Finance

Looking to get some advice on how to approach a career switch. I graduated this past May from a semi-target and started in a consulting role this past July. Its a financial services consulting firm and while the role may be interesting for some, I don't find the environment or work we do as intellectually stimulating as I would like in a job. The firm also seems to be in a transitory period where there is a lot of turnover and lack of focus towards new hires (I have not had any formal assignments/client coverage and my training supervisor was let go two weeks into my program)

I want to switch onto a fixed income desk, ideally in credit research. In undergrad, I took MBA level classes in equity research, distressed debt, and hedge funds, where we had to do independent research and analysis, which really built my interest in the industry. I had accepted this role last fall as it was an expiring offer, while I was taking these classes and just feel uninterested and out of place in what I'm doing. As a side note, I interviewed and landed a position at one of the credit rating agencies, but did not hear back from them before my offer expired.

I'm curious as to what kind of experiences/advice anyone here has as to ways to get out of an unrelated industry into something that I'm interested in and want to pursue the rest of my career in.