This game is just really hard. Don't be discouraged if you don't feel like you're improving. There is a lot to learn.

It's hard to give advice because I don't know much about your situation, but in my opinion, pick a character, Marth or Shiek or whatever character you enjoy playing. Practice their movement. Make sure you can very easily move around the platforms, wavedash, l-cancel, jump cancel grab, etc. You need good movement. Practice your punish game on common characters, and come up with a simple flowchart for common combo starters. You should know what you are looking for after a grab, shine, etc. at high and low percents. Practice your spacing.

You should think about what you are looking for in each matchup. What is your combo starter, and what is hard for the other character to punish. Learn how DI works, and how to get out of combos. Try to figure out what moves characters use to combo you or end the combo. For instance, when shiek f-tilts you, you need to know that when you DI in, you are countering a fair, and when you DI out you are countering another f-tilt. You need to have a plan for common situations. If you are against the edge of the stage, what are you options? At first try to pick a few options and mix them up, and as you get better add more options.

You also need to pay attention to what your opponent is doing. What are they doing a lot in neutral? When they are on the ledge how do they get back on stage? What do they do out of shield? What do they do during your invincibility? How do they tech? How do they DI? How do they recover?

There's a lot more, but the tl;dr is get the movement of your character down, understand how you want to combo and how they want to combo, and what openings to look for, and then you can start focusing on what your opponent does and countering it.