I've had the same feeling you're having early on, at times the game felt TOO big for me, but you'll get the hang of it quickly I think. Just don't stress on what you should be doing, and do whatever you feel doing like instead. I would recommend focusing on more shrines and towers before divine beasts, as getting their powers early can make the game too easy too quickly.
I keep reading that following the paths/roads that are laid out on the map between locations will lead you to all kinds of interactions and is in a way how the developers set out the game to be experienced. So you can follow the paths whenever you feel lost or without direction. I couldn't bring myself to do that on my first playthrough; the ability to climb anywhere and get to every hill and mountain top I saw was too tempting. I ended up getting to some areas much earlier than "intended" and vice versa, evidenced by the relative strength of enemeis and weapons there. Finding myself in more challenging areas early on was fun, but then visiting early game places much later was underwhelming because I was overpowered and all the rewards in chests there were useless junk to me by that point. So as non-linear and free-form as the game is, there is some merit to following a path of gradually-escalating challenges as the designers loosely intended. Also many of the conversations make more sense or come out more naturally in a specific order.
I don't know how do many of you keep running out of arrows. I don't think I've ever went under a 100, and now I have closer to 300. And I use them a lot. One to tip that helped me early on was to always buy ALL the arrows in stock at every merchant/store you come across, since the game takes a long ass time to restock those, so you want to start depleting their socks early so that by the time you might need more they will have restocked.
You could try visiting earlier stables and towns you've been to and see if they have arrows in stock.