Both have its pros and cons. For entrepreneurship, it is the trend now, especially for millennials and gen z. You are freedom to decide, to work as the way you like but you have to worry about finance.
On the other hand, you have to follow the rules of company, the decisions of boss but you don't need to think much about finance or loss.
This is why it is advisable to go with your own business, no one will set the rule for you, no body will tell you why you didn't come to work early, why didn't you close at this time, the problem and stress of working with a company will give you nightmares till you retire. On the other hand, if you have your own business as an entrepreneur, you will decide what you want to do with that business, you own your time and what you like to do and how they have to be. Having your own business is the leading goal right now.