A new report from Ernst & Young LLP., Research Now surveyed 1,202 adults aged 20 to 36 shows that millennials are fleeing big cities for suburban life.

When determining where to live, many millennials are now following the footsteps of their parents. In total, rent or own, 38% of millennials live in the suburbs, compared to 37% in the city.

Cathy Koch, EY's Americas Tax Policy Leader, told CNBC that millennials are choosing suburbs over cities.

"It's not just that they're settling down as they get older, either," Koch said. "When looking at the very same age group today compared to two years ago, there's an increase in the share of millennials living in the suburbs."

"It was a surprise to me to see this generation increasingly choosing suburban locations to buy homes," Koch said, but the trend at play makes sense: "The 'suburbs' may very well be smaller cities close to larger urban areas - these still afford the richness of city living (including employment opportunities) at maybe lower home prices."

According to a recent report from Zillow, millennial home buyers can expect to pay 26.5% of their income to purchase a median-value home in a city, but only 20.2% of their income for a similar home in the suburbs.

Personal finances and student debt is likely the factor driving millennials out of big cities for regions that have a much lower cost of living.

More than 50% of millennials are currently paying off student debt (on average, Americans have $30,000 of student loan debt).

Millennials who majored in business have the least amount of student loans, but a large share of them have worthless humanities majors with low-paying gig-economy jobs.

Ernst & Young finds more millennials are buying homes in the last several years, but shows how student debt has delayed homebuying for many. This fragile generation is buying homes at a much lower rate than Gen Xers and Baby Boomers.

Student debt has not just delayed home buying, but also marriage and children for many.

Koch said the housing affordability crisis and rising interest rates would continue the trend of millennials exiting large cities into suburbs because of housing prices and the cost of living is just too expensive.

Into 2020, the acceleration of millennials leaving cities could jump, due to existing home sales topping out and inventory across the country coming online, forcing home prices much lower, which would entice 20 to 36-year-olds to gravitate to regions that housing prices are at bargain prices.