I was overwhelmed at first,but I realized I just had to start small.Then you just start trying harder and harder things.
I got the controls figured out and I could probably keep a fortress running for a million years underground if I wanted to, but I constantly want to build big and I want to build big from the start. I want everything to be 100% effecient. Anything less is a waste of time.
For example, coal is, for me, a waste of perfectly good tree, which can be used to make beds in my symetrically aligned and effeciently planned bedrooms, when you can use magma instead.
But then I can't find a magma pipe in the first 10 minutes, so I start over, trying to find a biome with a volcano or the like.
Or even something as simple as the layout of my fort fucks me up. I try to plan everything ahead, but there is simply so much to plan it gets impossible to keep track of.
My biggest problem in Dwarf Fortress is myself.