Makeup gets cakey when I first apply

Basically title says it all. Every time in the morning, when I do my makeup, (I don't wear foundation, just concealer) it gets cakey. Like I'll blend out my concealer with my dampened beauty blender, and with the beauty blender I will do in and bake with it using the airspun translucent lose powder, and when i wipe it away, BOOM there it is. A cakey, dry looking, flakey mess. Idk if it because of winter time so my face is dry anyways (but I have normal skin type) but yeah I've never had this problem before. And yes I use a setting spray. Helps a little but not enough.