The reason why recycling is the last of the 3 Rs is because it's more of a last resort that doesn't produce very good results. The materials best suited for recycling are concrete, metal and paper. These are actually quite commonly recycled already on an industrial scale, which is where most of that kind of waste comes from anyway.

The biggest issue is plastics. It simply isn't worth it to recycle them most of the time, not just because of the financial costs, but environmental ones as well. Chopping the plastic up and melting it down only works for relatively pure plastics like those you might find in bottles, but unfortunately a huge amount of the plastics we use today (especially in packaging) are mixed in with additives or are comprised of a variety of plastics, including ones that burn instead of melt or release corrosive chemicals during thermal degradation.

It's not impossible to separate these, but that requires several more processes to sort through the hundreds of different plastic blends and methods to remove each specific type of impurity. The basic plastic recycling method barely comes out to being net positive in reducing emissions, and adding additional processes increases the energy input required. This is why there's no system in the world that can recycle all plastic waste, only specific types like bottles.

Incidentally, incineration is one of the best compromises. Since practically every plastic is made from hydrocarbons, they're a fairly good fuel source and using the heat generated from burning them does help recoup some of the energy used to produce them.