Why is my make-up not setting right?

Its winter here in Aus and my skin is dry, Ive tried brand after brand of moisturizers and foundations, but they are all not sitting on my skin well, they wont blend smooth, it looks like colour pigment sitting on my skin like powder no matter what I use, and at the slightest touch of my finger to blend it turns to a mess, what am I doing wrong ive never had this happen so bad and often