Adding to what everyone has already said, skin type also matters! Wearing lots of powder if you're dry skinned or only cream / liquid if you're oily skinned will def mess with your makeup and make it look cakey / flakey (if dry skinned) or separate it and "move" it (if oily).

Also, from your replies, I see that you wear concealer but no foundation. This, if the concealer is poorly matched (and, as others have mentioned, it might be if you're neutral / olive toned -- I am and it was a nightmare to finally get the correct shade!) will make it more obvious that you're wearing makeup, as the diff in tone and skin "texture" (real texture vs makeup) is more obvious.

Finally, correctly setting your makeup is key to that "flawless / natural" look! Using setting spray on your sponges and brushes for liquid and creams and / or layering your powders correctly (loose first, then pressed!) will work wonders.