I think information bubbles play a big role. There are so many places for the conspiracy-minded to get confirmation of the “truth” — from subreddits and websites to podcasts, radio shows and videos — that they can get affirmation while insulating themselves from counter-evidence.
Anti-vaxxers share “scientific” studies “proving” that vaccines cause more disease than they prevent; birthers pass around “proof” that Obama’s birth certificate is fake, etc.
Also, the best thing I ever read about conspiracy theorists is Them, by Jon Ronson. It focuses on conspiracy theorists, rather than conspiracy theories, and after spending a lot of time with conspiracy theorists, the author comes to the conclusion that conspiracy theories are comforting.
It’s comforting to believe that, when things aren’t going well for you, it’s the deliberate fault of some nefarious elites, rather than the simple combination of bad luck and your own mistakes. In reality, no one runs the world. It’s like a speeding train with no conductor, which is scarier than there being someone in charge, even if They do things you don’t like.