This is a really interesting question and there are conflicting explanations of this apparent paradox. I hope the following is helpful...
Many of us occasionally get a sense of non-duality - a feeling of being connected to everything - it is something mystical, all-encompassing. We can become aware of it vaguely, or it can come over us in a moment and be gone, often during meditation.
When we experience this, we realise we are part of it. But what is IT? Some say Consciousness, or the Absolute, or Source. These terms try to name something that cannot be described in words.
The paradox is that although we can discover this Oneness, whilst we are in physical form (as human beings), we do have a thinking brain, body, and the feeling of "I Am Me" - so we are simultaneously one with something far greater than us, and yet we still feel autonomous, with free will.
This is no trick of the mind, albeit only in relation to all that is also temporary.
Until we realise at a deeper level we are one with all, we live as if we are separate, and our limited and self-motivated ego dictates our thinking and behaviour. When the all-ness becomes our experience, at first there can be the sense of confusion that the title of this essay points to.
One way out of this maze is to contemplate how, when consciousness takes form as a human being, it inevitably gets drawn into the senses, the needs of the body, the thinking mind and our psychic conditioning. And from this the ego arises. This ego then believes it is a separate entity made up of body/mind/ideas - with a place in the world.
The ego, everything, has its part to play. How can it not - when the Absolute is All. Everything contributes to the evolution of All and as a result, what we do on an outer level matters and is 'real'. In our manifest reality, along with the beauty of existence there is also immense distress as everything in form is temporary and our attachments, including ultimately our body, must fall away. When the pain becomes too much, ultimately a longing for some deeper meaning builds up, and this can be defined as wanting to re-connect with the whole - although our ego never wants to let go completely.
Gradually the realisation of our eternal beingness brings us to know that we are connected to all - and part of a greater flow. As this happens we see our ego at work and once the light is on it, the ego begins to dissolve.