I made the move a few years ago and basically had to start from scratch building up a credit history. No one seemed interested in my previous adress which at times could be a hinderance. Couldn't get a credit card for ages til I was "established" even a laser card was out of my reach for almost a year!
As far as I know, no checks are done abroad but with the world getting smaller, that might (if it hasn't already) change.
Going slightly off topic though, if you're going for a mortgage and have bought a house abroad previous, don't try and claim to be a first time buyer. I've heard that if checks are done - by the revenue I think, I'm sure someone will correct me - they will go right back and even check the country you came from. This isn't a credit issue though, it's a tax one.
Good luck, I hope you're afforded a fresh start.