I am currently in the US transferring my visa from F1 to M1 and my status is pending. (My F1 visa is still good until July) I want to go back to Europe for the holidays. Can I travel? Or am I out of status? Could I use my F1 paperwork? Is there any paperwork I could get to not get stuck at the border on my way back?
A US visa is only for entry to the US. You cannot "change your visa" inside the US. You probably applied for Change of Status to change your status from F-1 to M-1.
Status only exists while in the US. When you leave the US, you no longer have status to "change" anymore, and any pending Change of Status applications are therefore abandoned.
In any case, to enter the US, you need a visa. You can only enter on your F-1 visa if you have a valid I-20 for an academic program and are resuming study in that program. If you are no longer studying in that program, you will not be able to enter using an F-1 visa. You will need to get an M-1 visa.
(Even in the case that you can still resume study in your F-1 program, you could enter on the F-1 visa, but then you will have to again apply for Change of Status if you want to still change to the M-1 status in the US, which would be much more expensive and a hassle compared to just getting an M-1 visa.)