Are you playing multiplayer games? The difficulty levels are different in multiplayer.
If you set yourselves and all the AI to Settler, then THEY get the bonuses from Settler and it's like playing on Prince (the 4th hardest difficulty, which is a level playing field). To get the "true" Settler experience, you should play single-player games.
Other that, here's some overall advice:
1. Expand early, before the AI does. Build settlers early and often, if not consistently. Aim for AT LEAST 8 cities. That should be enough to start. I like to expand in multiples of 8's, because luxury resources are distributed that way, but you don't necessarily have to follow that rule. Usually trying to go to 12 cities will make nearby AI's mad and aggressive but on Settler it should be fine. Though, like I said, 8 is probably ok.
2. Be nice to the AI. This doesn't mean JUST don't declare war on them. Are you trading with you? When they offer you trades, do you accept it? Are you demanding things from them? They don't like it. Did you build a city close to them? If they tell you to stop, do so, ESPECIALLY if you say you will. Did you declare war on a city-state? Try not to do that after the very early game, if you don't want to make the AI mad. It should be obvious what makes them mad or not. Every leader also has 2 agendas, one hidden and one that you can see, and violating that makes them angry as well.
3. Decide what victory you want to go for, and play a civ that helps you accomplish that goal. While you can go in without a plan in mind, it's not as easy to do things that way and not advised for a new player. Trying to win a Science victory as Gengis Khan or a Religious victory with Kristina is not going to be easy. In my opinion, the order of easiest to hardest victories is Domination > Science >>>>> Religion > Culture > Diplomacy. If you don't like Domination I highly encourage Science as it's by far the easiest peaceful victory.
Going into a game with no goal in mind and just doing stuff randomly won't win you the game, even on Settler.
4. Don't build useless stuff. If you're going or Domination victory, don't build a holy site, it's probably not helpful. If you're going for Science, you can probably skip that Theatre district. Etc.
5. Pay attention to Eurekas and Inspirations, and try to get as many as you can. Stop researching something if you don't have the Eureka/Inspiration yet, and continuing to research will waste science/culture if you get it. Do not assume that it's better to get that tech or civic NOW rather than wait for the Eureka/Inspiration that you'll get in 10 turns, because you're probably wrong. It's a lot to pay attention to, but plan ahead as much as you can and try to keep an eye on these things. You'll get better at it over time.
Here's how to win each victory:
Domination: Capture all civilizations' original capital cities. Pretty straightforward. Capital cities have a little white star in a circle icon by their name.
Science: Launch a satellite, land on Mars, build a Martian colony. This requires researching multiple late-game techs, and building stuff. High science and production is needed for this. Have a few cities focus on production and ALL cities focus on Science as much as they can. Population gives science, too.
Religion: Have your religion followed by more than 50% of each civilization's cities. You can take out rival religions via religious warfare or ACTUAL warfare. Generating as much faith per turn as you can is key for this victory, but also knowing which civ(s) to pressure is important.
Culture: Have more visiting tourists from each civilization than they have domestic tourists. Yes, I said this one was hard. Basically, you want more tourism than they have culture. Building as much tourism as possible is important here but Rock Bands, which come from Faith, are very helpful and so you need that as well. More so than any other victory type, great people are very important as well. You're gonna get nowhere without Great Artists, Musicians, and Writers. I'm not even going to begin to help you win this victory; if you want tips, look elsewhere. I highly DON'T recommend you try this.
Diplomacy: You need 20 diplomatic victory points. Simple, right? Well unless the stars align and you are going for it 100%, you absolutely will not do this before the other civs are capable of voting points AWAY from you -- and they will, whenever you are close to winning (of course). You need diplomatic favor to out-vote them, and you need a LOT of it. Or, you know, just win before that's a thing. Like I said, it's hard to do and requires specific strategies. I know much more about this than I do culture and could give you tips, but it's too much for a new player honestly. I suggest not trying this either.
Score: Have more points than any other civ at turn 500 -- 2050 AD -- by default. This is the hardest victory in all honesty because it's hard to prevent everyone else or even yourself from winning another way before you can win this way. You basically have to hinder everyone else's science through war, but you're quite likely to accidentally win culture or religion doing this anyway (or someone else might win religion if you're not careful). There's just no point...if you can do enough to win score victory, then you could've already won by science or domination, let alone as I said the ones you'll accidentally win as anyway.
EDIT: Oh, another tip. If you're going for Domination, don't leave the player winning culture/religion for last. You don't want to let them accidentally win a religious or diplomatic victory because you crippled all their competition for them!
