A few things about shortwave radio:
The time of day matters – more specifically where the night path is relative to you and the station you are listening to. The path that allows shortwave to propagate to the other side of the world is created by the Sun ionizing the ionosphere – too much and you get noise; too little and there is no propagation; typically the residual ionization after daylight allows for best propagation without overwhelming the signals with turbulence and noise. This means you have to pick the time when you listen to match the specific station propagation path necessary; it’s not an “always-on” thing like the internet.
Antennas matter. You can get by with small ones; even stock whips but there will be a lot of stations you will not hear without more power. Basically, you can only receive stations with enough power to be above the “noise floor” of your receiver – there is no magic that can recover stations below the noise. Antenna size is directly related to having much electromagnetic radiation you can convert to energy for your radio. Bigger net == Smaller signals received.
Look at program schedules to identify specific signals you want to try to receive. There is the paper version of the WRTH which is all broadcast radio on shortwave and then some. There are online resources as well. One nice feature of this is the broadcasters have often picked their schedules for the best reception in a given target area so you don’t have to calculate the propagation details yourself.
Have patience. Sometimes signals simply “drop out” or “fade”. It’s “a feature” of shortwave. Think about the times when shortwave was the only best way to communicate internationally in a timely fashion in many cases (e.g. from the 1930s through the 1960s). Even today intercontinental jet flights to Europe or Asia use shortwaves for contacting “civilization”.