My first grey was the most outgoing girl imaginable, but she was miserable her first weeks with me. And she was used to a home -- she was a bounce. I figured out later that she hated all changes of location, but all I could think of at first was that she hated me and that this was all a terrible, terrible mistake.
The best advice I got was to stop hovering over her and saying, "Poor, poor baby." Instead, I should talk to her and act like she was the smartest, prettiest, luckiest dog in the world. If I acted like that, she would, too.
It worked. After two weeks, we were inseparable. She was the smartest, prettiest, luckiest dog in the world, and I was the luckiest person for having her.