Remember that less is often more. Before applying any shadows to your eye tap your brush until there is no more fallout/excess powder coming off from it.

Lay down the color in the palette that is closest to your skintone first. Apply it all over lid, crease, and up to your brow if it matches your skintone close enough. This is usually called a base shade and it will help blend out all the other shadows.

Now pick up a color you want to use as a transition. A transition shade is any shade you use to help one color transition into another, so you get a smooth color gradient. A lot of times it's just a nude color that is a couple shades deeper than your skintone and base shade, and it helps your lid and crease colors blend out seamlessly into your skintone. It can also be a color like pink, which helps to blend out a dark purple, or orange, which helps to blend out a dark red, etc.

Blend only where two colors meet, over-blending is what usually leads to muddy colors. When you blend use a clean brush and do not put too much pressure on the bristles. The bristles of the brush should do all the work, so they should maintain their normal shape and barely touch the surface of your skin. When you press too hard they will get splayed out and blend unevenly. Sometimes lightly stippling/patting your brush over the line where two colors meet is all you need to do to blend them together.