I did the same move last year
NJ to AZ.
I moved with my bf and two dogs. Not sure if you're planning on driving, but it is a longgg drive. We took our own cars so we didn't drive together, but we did stop at some fun places along the way. It was 115 degrees F when we arrived in AZ (in July), so be prepared for that. It's hard moving far away from family. Luckily, school keeps you busy and goes by so fast I often don't think about how long it's been since I've seen everyone - I really only get sad when I can't be with everyone for a holiday or if I see how much my niece has grown since I last saw her.
I recommend just getting yourself used to the area before classes start and meeting up with future classmates if you can. It really helped that when classes begun I already had friends and felt adjusted to living here.
I think I would've really struggled without my dogs, though. If you are someone who emotionally/mentally benefits from having pets, maybe look into finding a roommate with a pet or getting one of your own