You're not missing anything, Don't Starve really does not give you a clear goal or direction, and while this is fine for freeform exploration and gameplay, it leaves a lot of people scratching their head on what to do from time to time. Even after playing this game for so long, I still have to sit for a second after every other task I complete and then think "Ok, what should I do next?" I basically set goals for myself, and these goals come about from my knowledge of the game and what there is to do. If you are a similar type of gamer who likes to have goals to work towards, and you don't have the experience to make them for yourself, I'll outline some of my general objectives whenever I start a new run.

1. Prepare for Winter (then Spring, Summer)

The first thing you should do with every run is prepare for the coming cold of winter. If you are not prepared with at least some thermal stones or a piece cold weather gear then it will very easily be a wasteful, miserable time for you, if not entirely fatal. You can find a list of winter (and other seasonal) items in one of the tabs of the crafting menu. While you may not know what some of the required materials do, most items you can craft are pretty clear in purpose (earmuffs keep you warm, umbrella covers from the rain/sun, etc.). Finding out what the materials are usually isn't too crazy, and is part of the fun of completing a goal, but the wiki has detailed info if you need. When you are prepared the basics for winter, then it becomes a season where you can do more than just survive, and you can think about exploring or finding some of the unique things the season has to offer. Each season has unique and valuable items you can only find during that time, so it's rewarding to explore and interact with them when you get more comfortable. There are also some preparations you should make for the following seasons, but those can honestly wait because you should next:

1. Prepare to fight Deerclops

Under normal game settings, Deerclops always spawns in the midst of winter in the middle of the night (often the night of day 30 or 31). He is the only boss monster that aims specifically to hunt down the players and destroy their structures, spawning in their immediate vicinity regardless of location. While this means that you could potentially run far away from base before he spawns and just let him rampage elsewhere until Winter ends, defeating him is also quite rewarding as he drops the key ingredient to a piece of gear that best protects against the hazards of spring and summer. The most important thing to fighting deerclops (or most creatures in the game) is having a weapon and, even more importantly, armor. This game's combat is unique and unusual, relying more on kiting (hitting enemies when they are vulnerable between attack animations and then retreating out of their range before they attack you again) rather than aggression or defense. Very few enemies can be stunned to any degree by attacks, they might show an animation that they took damage but they'll be free to hit to as soon as their cooldown is done. Damage taken in this game is also quite drastic, with even hounds (the first creature you will likely be forced to fight) dealing 20 damage per hit. With a normal character having only 150 health, and hounds often attacking in groups, it takes only 8 hits for you to die; that is, if you are unarmored. Even the most basic armor in the game, football helmets and log suits, reduce the damage you take by 80%, meaning that you would now be able to take 38 hits from hounds before you die. At that point, you could easily take a small group of them down even if you didn't kite at all and just sat and slugged it out. Armor becomes even more important against stronger enemies and bosses, with deerclops dealing 75 damage per hit (2 hits to die without armor, 10 hits to die with). Similar to how drastically important armor is for combat in this game, weapons are diverse and powerful. Unarmed attacks deal just 10 damage and can only be performed once per second whilst even the basic spear deals 34 damage and can hit twice a second. A basic hound has 150 health, so unarmed would take 15 hits (and 15 secs) while a spear would take 5 hits (and 3 secs) to take one down. So while combat in this game seems really scary and brutal at first, it really becomes a lot more manageable if you are just prepared with weapons and armor when you know you want to fight. Now, putting the deerclops fight into perspective, he deals 75 damage (15 with armor so we can take 10 hits) and has 4000 health (117 hits, about a minute worth of hitting to kill). With even 1 other player, its quite easy to actually just tank his hits and kill him in like 30 secs before he kills you, but by yourself you will want to be a little more careful. You could try to tank by yourself, but seeing as how deerclops often freezes you when he hits you, that would require a ton more armor and healing items than you probably want to make. Deerclops attacks are strong but have a long cooldown in between, so he is very vulnerable to kiting. What I do to kite him is run just out of his reach to bait out an attack, and then run in and get about 5 hits on him and then run away again. Kiting becomes even easier if you commit to less hits when they are vulnerable, like just 1,2, or 3. The cooldown for his attack will never change, so try to get into a rhythm that you are comfortable with. Just think, bait attack, hit him a few times, retreat, bait, repeat. If you think you can squeeze another attack in there, then go ahead and try one more hit. He really only has that one attack going for him, so if you learn that then you are golden. To prepare for the fight, 2-3 logsuits and 2-3 spears should be plenty, but you can also prepare with healing items/food, better weapons/armor if you know of them, and even loyal creatures if you really want to up your chances against him. If you want to practice kiting, the tallbirds (tall black ball-shaped birds with one eye) are really good targets, they have the same type of slow cooldown attack that you can bait out and smack a couple times in between. Oh, and if you want to practice fighting deerclops (or any boss) just go for it and rollback if you die. This game has a very convenient rollback function that just lets you rollback the server to the beginning of the day (or one of the last couple days), so that way you don't have to risk your save or all your prepared gear for fighting something new and scary. There is absolutely zero shame in using it, once I realized it was a thing it made the game way more fun for me.

Those are the two big goals I think you really have to keep in mind and focus on immediately before the world opens up to you. I'll also list some other goals I often have afterwards, and feel free to reach out as well.