Has anyone else had problems where your makeup always separates immediately? What did you do?

My makeup seriously has always looked separated and strange on my skin as soon as I put it on. I've tried using a primer before the makeup, got a hydrating product for my skin... tried even just using one product by itself, like a concealer or foundation. It's the same, every time. I don't know what I'm doing wrong, honestly even eye shadow looks strange on my skin. I haven't used it in a while now but wanted to get back into it, however using just moisturizers and hydrating serums + a basic concealer yields the same results, and makes me not want to put more money into this again just to have it fail...

Does anyone know if a dermatologist could help with something like this? Did you ever have this problem, and if so, what did you do? Could it just be that some people genuinely can't wear makeup? Even when I went to Sephora in the past, or had friends do it, they can't seem to get it to look normal on my skin, either. Trying to follow peoples steps online honestly doesn't seem to be helping, and I'm worried lately that even more of them really just want to sell you something, anyway.. is it a lost cause?