Morrowind wasn't like that...from what I can remember.
Unlike Skyrim, Morrowind gave you a rational reason for exploring and joining guilds - Caius Cosades said he wouldn't let you start the Main Quest (MQ) until you did. He tells the PC that 'you're unprepared for this task so get some experience and better equipment and return when you're ready.'
Someone gave you a general idea of how to make it in Morrowind explaining about crime/punishment and how to make gold - not in Skyrim.
When you reached the limit of a trainers abilities in Morrowind they would tell you where another trainer could be found - not in Skyrim.
When entering a town there was someone who would tell you what goods/services the town offered - not in Skyrim.
You could receive directions to specific peoples houses - not in Skyrim.
There were scouts in the towns to give you an idea of the surrounding area (i.e. dungeon over there, etc) - not in Skyrim.
Lastly, it seems like you're almost forced to join all the guilds. You get two offers from the Companions one of which gives you the (bleep)ing journal entry...I hate those...before you pass the first building in Whiterun. You're forced to join the Mages guild in order to complete the MQ and you're almost forced to join the Thieves Guild as well.
It seems like the game was made for players who are satisfied with pretty games that are action driven as opposed to story driven.
Another thing, I thought dragons returning would be a bigger deal. The guilds seem oblivious to the fact that dragons have returned. I would've thought that the Companions and Mages would be getting hired to fight dragons. The Thieves would be hired to get precious dragon related items.
I mean, Alduin's return is a sign of the Apocalypse and noone cares!? There're no rumors that the world is about to end?
That's what I meant by "shallow" on the surface each guild/quest is independently attractive but taken as a whole there's nothing connecting them together. There's no real depth to them.
...or am I missing something?

I'm enjoying the game just fine. Still playing it daily with no immersion or fun loss.