I was sort of the same way. Played Oblivion first (lots of times), then tried MW for a little bit, then Skyrim, and then just recently got hugely into Morrowind.
You need to think of MW less as an action game and more as a classic, pencil-and-paper rpg, if that helps.
Morrowind has a slower start, in some ways, than the later TES games. You can't just come off the boat and charge off into the wilderness killing stuff. The game doesn't hand you everything you need to survive. In the beginning, you will be very weak (makes sense - you're a prisoner who's been on a boat for hours, maybe days), and little critters will be a challenge.
My advice is to take it slow. Decide on a character concept, and then play it out as you would if you were dumped in that scenario. Would you dive into the first cave you found, or would you instead talk to the locals, get a sense of the world, see if there are any jobs that need doing? The former is a good way to get killed in Morrowind; the latter is much safer.
Choose a guild or two to join. Guild quests will get you out in the world in a (mostly) rational way, and you also get the benefit of trainers and vendors.
It also helps, imo, to make a character who would actually want to read up on the lore that you find in the world. Reading the books and messages is a great way to get into the game. If you make a burly barbarian who doesn't have the time to read, you'll miss out on some great stuff.
The combat system may take some getting used to. Again, think of it like a classic rpg. You don't always 'hit' when you swing your sword at something. That may be frustrating, but it is also logical. But when you miss, don't think of it as a 'whiff' - think of it like your enemy blocked, or dodged out of the way, or your sword harmlessly skittered across their armor. It's not that you're so badly coordinated you can't hit a monster a foot in front of you - just that your 'hits' are unable to penetrate, or something.
Those first few levels are going to be slow and rough. But leveling actually seems to get faster as you get higher in level - sort of the reverse of Oblivion and Skyrim. The reasoning is simple: In early levels, you miss a lot with your attacks, or fail casting spells. As you get better, you fail less, and thus get more experience, and thus level up quicker. So don't despair - it will get easier.
Choose a way to kill stuff close up, a way to kill stuff far away, and a way or 2 to defend yourself. I just got done playing one of the premade classes, the Acrobat. I would have changed a few things if I made my own custom class - which is probably a good idea. But just make sure you have a weapon skill (or 2, if one is Marksman) and an armor and/or block skill as Majors - unless you're playing a mage, of course.
Talk to people. Talk is cheap. You never ask, you never learn.
