Sets,
I'm sure everyone in training for any profession goes through doubts about whether they are doing the right thing; it's part of being human - especially when the training is going through a difficult patch!
Most of these doubts are just a slight dent in your confidence and are dispelled when things start to go well. Sometimes the doubts are brought on by external factors (family disapproval, financial problems etc), and these ones must be faced. You don't need non-professional problems distracting you, so talk it out with the family or bank or whoever.
Sometimes, but rarely, these doubts are more persistent and are brought on by a growing feeling that this really isn't what you want to do. If that's the case, don't be proud - go and do whatever it is you really want to do. It's your life; you must live it for yourself, not for what others think of you.
So, yes, most of us have had them. You're not alone!