Consider this scenario. You are a two dimensional creature. You are only able to experience your reality as a flat plane. Up and down have no meaning to you; these are concepts quite beyond your comprehension. You cannot imagine a 3 dimensional object any more than we, in our 3 dimensional world, can imagine what a 4 dimensional object would look like.
Now, in your 2 dimensional world, creature, I, as a 3 dimensional God-like character, am going to take a circle, anything round, and shove it down through your plane of existence. What would you experience? You would experience at the very first, a single point suddenly appearing as if out of nowhere. This single point splits into two points that diverge from each other at a steady rate. Yet if I stopped pushing the ring through your plane for a moment and let you examine one of those two points that you can see, you would find that if you shoved on one point, the other point moved exactly the same. From my God-like perspective, all you did was shove the ring a bit. You, on your flat plane, see spooky action at a distance, because you're shoving one point and the other one is moving, too.
Given enough time and experimentation with these points that keep appearing in your plane of experience as I keep shoving rings and perhaps even more complex objects through your plane, you might even be able to come up with some really complicated mathematics and physics that describe all this bizarre motion and behavior in your 2 dimensional world. To you, it all appears incredibly complex and horribly incomprehensible, even utter nonsense, but you can manage to describe it in such a way that is at least consistent with the weird behavior you keep seeing. To me, in my 3rd dimension, I'm just chuckling over all that hard work you're going to, because to me it's just a simple ring I'm shoving through your plane and watching you go batshit crazy trying to figure out what's going on.
The point is simply that quantum physics appears bizarre to us because we are limited to experiencing 3 spatial dimensions and are forced to constantly move in a single direction on an axis of time. All the weirdness of quantum physics really just means that there are almost certainly many more spatial dimensions and more complete freedom of motion through time than what we are limited to experiencing. What you're seeing a lot of times is just the weirdness of seeing something that almost certainly "completely" exists in several more higher dimensions intersecting limited reality you are able to witness.