Look at it this way:

When visiting LinkedIn your browser connects to shittyadnetwork.com. It isn't tracking you yet so it sets a cookie with a unique identifier. Then when you go to Spotify and it makes your browser connect to shittyadnetwork.com too, it will pass that cookie, allowing the ad network to link you to both LinkedIn and Spotify.

It gets far more crazier though. There's methods to fingerprint you and your device so that even if you clear cookies, it can still accurately identify you. They also track IPs so if you clear cookies and they consider a specific request to be you, they'll just link you back to your original tracking profile. If a whole website links to an ad network, and most of them do, the ad network can track whatever pages you visit on the website and categorize you because of that. Hell, the websites sometimes even supply that data directly to the ad network themselves.

Solution:

• Block ads
• Block trackers
• Use a cookie whitelist (where you have to allow a website to store a permanent cookie)
• Use anti-fingerprint measures
• Use email aliases
• Use a VPN
• Continuously speak up against this privacy invading tracking bullshit