Maybe there are some dark mages who are after the magic that Lucy and Levy possess. As they leave Fairy Tail, they lose the protection of the guild, and these dark mages could target them. They would be antagonists as they try to steal the girls' magic or harm them in some way.
It's also possible that an old enemy of Fairy Tail, who holds a grudge against the guild, targets Lucy and Levy as they leave. They might see them as easy targets or as a way to get back at Fairy Tail. This enemy could be someone who was defeated by Fairy Tail in the past but is now looking for revenge by going after two of its former members.
Perhaps some dark mages who have a vendetta against Fairy Tail. They target Lucy and Gray because they think that these two are easier to take down outside of the protection of the guild. They might want to use Lucy and Gray as bait to draw out other members of Fairy Tail.
Perhaps they leave because they feel underappreciated in Fairy Tail. They might think that their skills and contributions are not being recognized enough, so they decide to go off on their own to prove their worth elsewhere. They could start their own small guild or join another existing one that values them more.
It could be a group of students from another academy who are jealous of Fairy Tail Academy's reputation. They constantly try to undermine Natsu and Lucy's efforts and cause trouble during competitions.
Natsu would be a likely character to comfort Lucy. He's her close friend and often there for her. His warm and energetic nature could cheer her up. Another one could be Erza. Erza is strong and reliable, and she has a soft spot for her guildmates. She would probably offer Lucy some wise words and a shoulder to cry on. Happy, the little blue exceed, might also be there. His cute antics and friendly presence could make Lucy feel better.
Natsu would be a very likely character. Since he and Lucy are close friends in the original story, if Lucy travels back in time, Natsu might be one of the first people she seeks out. They could have adventures together in the past, with Natsu being his usual impulsive self and Lucy having to keep him in check with her knowledge of the future.
It could be a group of jealous students who don't like Natsu and Lucy being in charge. They might try to undermine their leadership by causing trouble during important events at the academy.
A possible reason could be personal conflicts within the guild. Lucy might have an issue with some of the guild's rules or how certain things are run. Juvia could be following Lucy for some reason, like loyalty or because she also has her own issues with the guild. For instance, if there are tensions between Juvia and other members over Gray.
Maybe they leave because they want to search for answers about their pasts. Happy might want to know more about his origins, and Lucy could be seeking something related to her family's history.
Gajeel is very likely to come to her aid. He has a special bond with Levy, so when she gets hurt, he would be one of the first to rush to her side. He might use his iron dragon slayer magic to protect her from further harm or carry her to safety.
One possibility is that the guild would experience a significant emotional impact. Lucy is a central figure, and her celestial spirit magic has been crucial in many battles. Juvia, with her water magic, is also a strong member. Their departure might lead to a decrease in the guild's overall power. Some members might feel betrayed, while others could be motivated to find out why they left and try to bring them back.