To summarize:

The Companions (equivalent to the Fighters' Guild) are about a dozen strong, literally cursed, and their most beloved leader gets murdered very early in the storyline.

The College of Winterhold (equivalent to the Mages' Guild, not to the Arcane University) has seemingly only been saved from collapsing into the sea because a master of Restoration fused himself with the structure itself when the Sea of Ghosts tried to tear it down a little under a century ago and his presence is constantly physically "healing" the foundation.

The Thieves' Guild has lost the favor of every possible patron deity, having been outright cursed by Nocturnal after one of her Nightingales murdered another and stole the gift she offers her champion, while the boon that the organization's founder claimed from her in ages past (the cowl) is missing.

The Dark Brotherhood has been all but completely dismantled, the Night Mother's tomb in Bravil having been raided and struggling to persist without a Listener for over a decade; the bodies of the Night Mother's children have been lost and she's essentially being smuggled from region to region in an attempt to find a safe place to continue operations.

The Empire itself has been kneecapped, forced into a traumatic treaty by a fascist regime determined to strike the beliefs and culture of anyone not Altmer off the face of the planet; the Thalmor have gone so far as to torture and radicalize the figurehead leader of the Nords in order to use their own nationalism and superiority against the Empire, sparking a civil war that will further weaken the Empire and allow the Aldmerri Dominion to destroy it wholecloth.

This extends out into the rest of the world, too! We have confirmed existence of Hist-deaf Argonians. The Dunmer are floundering to recover after the quadruple-whammy that is the fall of the Triumverate, the destruction of Vivec City when Baar Dau finally made impact, the Red Year, and the Argonian uprising. The Bosmer are literally endangered due to habitat loss following a super-isolationist cultural shift due to wars with the Khajiit and Altmer. The Void Nights were devastating to Khajiit culture and population in ways that have yet to be fully explained.

The world is falling apart. Everything is dying.

And then Alduin shows up.

We all kind of talk about Alduin carrying on as World-Eater through the course of the Skyrim storyline like it's him being a piece of shit, since he'd started it ages ago and was just displaced in time to land on the Last Dragonborn's head in the Fourth Era, but I don't think that's the case.

Based on the state of things, I think Alduin arrived right on time. I think it's the end of the world. The only reason he "should" be stopped is because the Last Dragonborn has the capacity to stop the world from ending in a more down-to-earth sense than just defeating Alduin: they can't save everyone, but they can "fix" every single organization that's holding "the world" together.

They can align with the Imperials and keep the civil war from further crippling them, keeping the Empire from being too weak to push back against the Aldmerri Dominion.

They can save the College of Winterhold, the only group in the right place at the right time to stop the Eye of Magnus from opening, and in doing so make sure that the Psijics are able to put it somewhere nobody else can find it.

They can lead the Companions, cure the curse for those members who don't want to run with Hircine after death, which bolsters their spirits enough to keep doing what they can even when everyone else is trying to kill each other. A single neutral martial force in the middle of a civil war.

They can regain Nocturnal's trust for the Thieves' Guild, restore the Nightingales, and in doing so they can return the luck that was stolen from them as punishment for Mercer Frey's transgression. They can even reclaim the Crown of Barenziah and award the guild with a paragon to increase their newly-regained luck.

They can hear the Night Mother, becoming Listener for the Dark Brotherhood to restore the balancing force of Sithis in the world, purify the most broken Sanctuary the Brotherhood has ever had, and finish a story set into motion way back in the Third Era—Emperor Titus Mede II is murdered under the order of a Motierre, a descendant of a mark the Brotherhood specifically kept from dying during the Oblivion Crisis.

The Last Dragonborn can't do anything outside Skyrim—there's nothing they can do for the Argonians or the Bosmer or the Khajiit, and they can only do very little for the Dunmer via work in Solstheim—but they can work with every single guild or guild-adjacent group, strengthening the Empire to stand against the biggest threat to Tamrielic culture since the First Era, and in doing so they can make it so the world isn't ready for Alduin to eat it.

The Hero of Kvatch exists when Tamriel, and presumably Nirn as a whole is in the prime of its life, that's what makes the Oblivion Crisis such a big deal. This is a world that isn't ready to give up, it still has the strength to fight, it just needs someone standing at the head to direct it. The Last Dragonborn comes into the story when everything is falling apart and nothing really feels worthwhile, when it's hard to see why the world is worth saving. They have the chance to prove that there's still some life left here, that the world isn't too far gone to save—Alduin arrived right on time, it's the Last Dragonborn's job to change that.

I can see how coming from Oblivion to Skyrim would feel disappointing and hollow, but I'm pretty sure that's literally the point of the story.