Even with good brands, people are still having this problem.
So in addition to always having a good lid primer to be the base to your eyeshadow, what can you do? It's easy. Add water to your eyeshadow applicator. It immediately makes the powder more thick and intense, and it stays stronger and longer. It's that simple.
Below are just some quick webcam pictures of me using and not using water. The right is with water and left is not. You can tell the difference, but it's even more noticeable in person! Try it out sometime if you ever struggle with this problem.