Health coverage after losing my job: marketplace or Medicaid?

My employer coverage ended at the end of the month and I am trying to work out what to do as a barista. This is my first time dealing with any of this. The COBRA notice arrived with a very high price. How fast did coverage start?

Thanks for writing this out. I went through something close to it 7 months ago, and it got easier once I kept a simple log of every call and form.