Oil is an ingredient that helps remove makeup, so aside from the shine aspect, it's no wonder you are frustrated. Getting your face to look fresh and glowy without becoming an oil slick can be a challenge!
The first thing to address is your skin care routine. I find that most women with oily or acne-prone skin are using waaaay too many products that dry it out. In case you don't know this, oil is actually your friend! Stripping all of the oil from your skin will actually cause it to produce more oil because your skin needs it, so make sure that after every step of your skincare regime your skin feels soft and supple, not dry and tight. This is especially true for your cleanser. Also, I know it sounds counterintuitive, but using a few drops of face oil (like this Rosehip Seed oil that calms skin and won't clog pores) mixed into your moisturizer will really make your skin feel balanced so it doesn't over-produce it's own. It sounds crazy, but it really works!
After you've established a good routine for your skin, you'll need a foundation primer to use beneath your makeup. Oily skin moves makeup around, so giving it a base to grip to will be to your advantage. Use just a thin layer of your favorite primer (you can opt for a mattifying primer like this if you'd like) to help everything stay in place better. You can even wear foundation primer on it's own without any foundation over top because it helps control shine and make skin look smoother.
If you are wearing foundation, do NOT go crazy with the powder afterwards. In the same way using a drying skincare regime makes your skin over-produce oil, over-powdering will do the same. Use a fluffy powder brush and a loose powder to set everything, rather than a heavy pressed powder and a sponge. I know it feels amazing to look all smooooooth and matte first thing in the morning, but you'll notice quickly that the oil comes back with a vengeance, and oil + heavy powder = a cakey mess! Avoid this by powdering lightly.
The last thing that will majorly help you out with your oily skin dilemma is to be prepared for touchups throughout the day. I know we'd all loooove to find that magic solution that takes all of our cares away, but even girls who don't have oily skin need to touch up their face at some point! Makeup is not set it and forget it! Bring some blotting papers and a hand mirror in your bag to see when you need to dab off any excess oil from your skin. Blotting is much better than piling on powder throughout the day (remember that whole 'cakey mess' I was describing?), although after you blot you can add a bit of powder if you need. You may also want to bring a few other products if you know they tend to fade a bit.
In case you haven't seen it yet, we have a tutorial on making your makeup last longer, so definitely check that out if you haven't. These tips are great for anyone, but if you have oily skin they will definitely give your makeup routine a boost.