I work at a college. Recently we did some advertising using texting and a thing called geo-fencing. Basically that allows the advertiser to send adds to phones in very specific geographical areas. When someone clicks on the add it gives you all kinds of details about that click including what happened after that if they applied for college. I wasn't involved in it but, I heard about the results. Just amazing technology.
I also had a friend who refused to get a facebook page because he said he wanted his anonymity. So, over time he ended up in photos anyway through things people posted. If you went to tag photos and hovered over his it would suggest his name even though he never had an account. Facial recognition even for people who didn't have accounts.
Then there were the folks who have the various devices like the Amazon Echo that listen to you all the time. You talk about cats you get adds for cat food.
All of these things are linked together and have been for years. Then throw in your credit card activity, medical records, banking, grocery habits, travel destinations by purchases and phone pings, etc..
Mostly no one other than advertisers is looking and connecting the dots...mostly..