Your experience is certainly possible, but it's also localized. It also depends on what you bought. Both big-box stores in my area have two different kinds of 2x4s. Both have "whitewood studs" and both carry a flavor of hem-fir. The latter are a little more expensive. They're also generally much straighter and easier to work with. If you buy "whitewood" you will probably be full of regrets, but if you don't buy the cheapest thing on the rack you can do OK.
That said, unless you are framing a wall I think that the real key for dimensional lumber is to forget that 2x4s exist. Big-box stores start giving you much, much more uniform material once you get up to 2x6s. While I work in hardwoods sometimes, I like making simple furniture and gifts out of softwood because of the regularity, the price, and because I don't care nearly as much if I make mistakes. My primary materials are 2x6s and 2x8s from my local Lowe's and Home Depot (because my jointer can't handle anything bigger). Lowe's are Idaho-sourced white fir and Home Depot are unknown-source Douglas fir. They both make pretty decent 1" x 5" milled boards, for the most part. Knots in white fir open and crack in interesting ways that give it a rustic feel that I like, but the color is pale and weird (so I break out stain for most of those projects, shhh don't tell). In other parts of the country you can get stuff like the southern yellow pines (slash pine most common), which have interesting properties as they age with regards to strength. Though I think they're kinda ugly.
I will tell you for sure, however, that the stuff you're buying is dry. It's just not dry to what you think it is. Dimensional lumber is dried to somewhere between 8% to 12%. That's dry enough to drive out most bugs and to reduce the future movement of the wood to the point where it can be safely and effectively constrained by fasteners--that is, while it may try to warp, it won't warp so much that it can potentially strain a fastener (which can absolutely happen, wood is strong). HD will not put lumber that is not adequately KD'd on the rack (barring accidents, etc.) because the stuff won't get signoff from builders, who absolutely do buy from HD and buy in bulk, and incurs liability. (Builders, at least where I am, do a lot less with lumber yards, because HD's prices are cheaper.) But 8% is the top end of what a furnituremaker or somebody making something that needs to be stable will expect; many aim for 6% moisture content, and that's in hardwoods which move a little less.
Plywood...is a different story, but plywood is having much bigger problems across the world right now. Again though, depending on where you are, you can do OK. My local Lowe's has adequate (not good) hardwood-veneered; my local HD has a "birch" ply that, while probably not entirely so, isn't awful. The bigger problem is that both are still ridiculously expensive, while both dimensional lumber and hardwoods have largely come back down in price.